Estimating the Gerber–Shiu Function in the Two-Sided Jumps Risk Model by Laguerre Series Expansion
In this paper, we consider an insurance risk model with two-sided jumps, where downward and upward jumps typically represent claim amounts and random gains, respectively. We use the Laguerre series to expand the Gerber–Shiu function and estimate it based on observed information. Moreover, we show th...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI
2023
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| Subjects: | |
| Online Access: | View Fulltext in Publisher View in Scopus |
| LEADER | 01314nam a2200217Ia 4500 | ||
|---|---|---|---|
| 001 | 10.3390-math11091994 | ||
| 008 | 230529s2023 CNT 000 0 und d | ||
| 020 | |a 22277390 (ISSN) | ||
| 245 | 1 | 0 | |a Estimating the Gerber–Shiu Function in the Two-Sided Jumps Risk Model by Laguerre Series Expansion |
| 260 | 0 | |b MDPI |c 2023 | |
| 856 | |z View Fulltext in Publisher |u https://doi.org/10.3390/math11091994 | ||
| 856 | |z View in Scopus |u https://www.scopus.com/inward/record.uri?eid=2-s2.0-85159158291&doi=10.3390%2fmath11091994&partnerID=40&md5=f52957c873a09427bd175deb2ec6db26 | ||
| 520 | 3 | |a In this paper, we consider an insurance risk model with two-sided jumps, where downward and upward jumps typically represent claim amounts and random gains, respectively. We use the Laguerre series to expand the Gerber–Shiu function and estimate it based on observed information. Moreover, we show that the estimator is easily computed and has a fast convergence rate. Numerical examples are also provided to show the efficiency of our method when the sample size is finite. © 2023 by the authors. | |
| 650 | 0 | 4 | |a estimator |
| 650 | 0 | 4 | |a Gerber–Shiu function |
| 650 | 0 | 4 | |a Laguerre series |
| 650 | 0 | 4 | |a two-sided jumps |
| 700 | 1 | 0 | |a Deng, Y. |e author |
| 700 | 1 | 0 | |a Hu, K. |e author |
| 700 | 1 | 0 | |a Huang, Y. |e author |
| 773 | |t Mathematics | ||