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Estimating the Gerber–Shiu function in a Lévy risk model by Laguerre series expansion · Study

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ArticleEstimating the Gerber–Shiu function in a Lévy risk model by Laguerre series expansion

Zhimin Zhang2018

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Articlebronze2018

Estimating the Gerber–Shiu function in a Lévy risk model by Laguerre series expansion

Zhimin Zhang · Wen Su

35 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Probability and Risk Models Probability and Statistical Research Stochastic processes and financial applications

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References

1998On the Time Value of Ruin 2013Optimal dividend problem with a terminal value for spectrally positive Lévy processes 2013Gerber–Shiu Risk Theory 2006On The Expected Discounted Penalty function for Lévy Risk Processes 2009Nonparametric estimation for pure jump Lévy processes based on high frequency data 2008Nonparametric estimation of ruin probabilities given a random sample of claims 2010Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model 2017A new efficient method for estimating the Gerber–Shiu function in the classical risk model

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2017Estimating Gerber–Shiu functions from discretely observed Lévy driven surplusarticle · 5 shared references 2010Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk modelarticle · 3 shared references 2017A new efficient method for estimating the Gerber–Shiu function in the classical risk modelarticle · 3 shared references 2009On a generalization of the Gerber–Shiu function to path-dependent penaltiesarticle · 2 shared references 2013Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theoryarticle · 2 shared references 2007The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusionarticle · 2 shared references

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Year2018

Typearticle

Published2018-07-07

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations35

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.cam.2018.07.003

openalex_workW2865337094

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