Estimation of the expected discounted penalty function for Lévy insurance risks

Research output: Contribution to journalArticle

16 Citations (Scopus)

Abstract

We consider a generalized risk process which consists of a subordinator plus a spectrally negative Lévy process. Our interest is to estimate the expected discounted penalty function (EDPF) from a set of data which is practical in the insurance framework. We construct an empirical type estimator of the Laplace transform of the EDPF and obtain it by a regularized Laplace inversion. The asymptotic behavior of the estimator under a high frequency assumption is investigated.

Original languageEnglish
Pages (from-to)125-149
Number of pages25
JournalMathematical Methods of Statistics
Volume20
Issue number2
DOIs
Publication statusPublished - 2011 Jun 1
Externally publishedYes

Keywords

  • ISE-consistency
  • Lévy risk process
  • discrete observations
  • expected discounted penalty function
  • regularized Laplace inversion

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Fingerprint Dive into the research topics of 'Estimation of the expected discounted penalty function for Lévy insurance risks'. Together they form a unique fingerprint.

  • Cite this