Estimation of the expected discounted penalty function for Lévy insurance risks

研究成果: Article

16 引用 (Scopus)

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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.

元の言語English
ページ(範囲)125-149
ページ数25
ジャーナルMathematical Methods of Statistics
20
発行部数2
DOI
出版物ステータスPublished - 2011 6 1
外部発表Yes

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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