Estimating the Gerber-Shiu Function in Levy Insurance Risk Model by Fourier-Cosine Series Expansion

被引：5

作者：

Su, Wen ^{[1
]}

Wang, Yunyun ^{[2
]}

机构：

[1] Shandong Univ Finance & Econ, Sch Insurance, Jinan 250014, Peoples R China

[2] Monash Univ, Sch Business, Dept Econometr & Business Stat, Melbourne, Vic 3800, Australia

来源：

MATHEMATICS | 2021年 / 9卷 / 12期

基金：

中国国家自然科学基金;

关键词：

Gerber-Shiu function; Levy insurance risk model; Fourier-Cosine series expansion; estimation; NONPARAMETRIC-ESTIMATION; RUIN PROBABILITY; OPTIONS;

D O I：

10.3390/math9121402

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, we propose an estimator for the Gerber-Shiu function in a pure-jump Levy risk model when the surplus process is observed at a high frequency. The estimator is constructed based on the Fourier-Cosine series expansion and its consistency property is thoroughly studied. Simulation examples reveal that our estimator performs better than the Fourier transform method estimator when the sample size is finite.

引用

页数：18

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