Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus

Yasutaka Shimizu, Zhimin Zhang

    研究成果: Article

    16 引用 (Scopus)

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    Consider an insurance surplus process driven by a Lévy subordinator, which is observed at discrete time points. An estimator of the Gerber–Shiu function is proposed via the empirical Fourier transform of the Gerber–Shiu function. By evaluating its mean squared error, we show the L2-consistency of the estimator under the assumption of high-frequency observation of the surplus process in a long term. Simulation studies are also presented to show the finite sample performance of the proposed estimator.

    元の言語English
    ページ(範囲)84-98
    ページ数15
    ジャーナルInsurance: Mathematics and Economics
    74
    DOI
    出版物ステータスPublished - 2017 5 1

    ASJC Scopus subject areas

    • Statistics and Probability
    • Economics and Econometrics
    • Statistics, Probability and Uncertainty

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