Estimating the Gerber-Shiu function in a Levy risk model by Laguerre series expansion

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:346

Article

Zhang, Zhimin¹  Su, Wen¹ 

[1] Chongqing Univ, Coll Math & Stat, Chongqing 401331, Peoples R China

关键词: Gerber-Shiu function;    Estimate;    Levy risk model;    Laguerre series;   

DOI  :  10.1016/j.cam.2018.07.003

来源: Elsevier

【 摘 要 】

In this paper, we provide a new method for estimating the Gerber-Shiu function in a pure jump Levy risk model. First, we show that the Gerber-Shiu function can be expressed on the Laguerre basis and the Laguerre coefficients can be easily obtained by solving a linear system. Next, based on a high-frequency observation of the aggregate claims process, we estimate the Laguerre coefficients and this leads to a new estimator of the Gerber-Shiu function. We derive the consistency property of this estimator when the sample size is large. Finally, we do some simulation studies to illustrate the finite sample size performance. (C) 2018 Elsevier B.V. All rights reserved.

【 授权许可】

Free