Estimating Gerber-Shiu functions from discretely observed Levy driven surplus

被引：28

作者：

Shimizu, Yasutaka ^{[1
]}

Zhang, Zhimin ^{[2
]}

机构：

[1] Waseda Univ, Dept Appl Math, Tokyo, Japan

[2] Chongqing Univ, Coll Math & Stat, Chongqing, Peoples R China

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2017年 / 74卷

基金：

中国国家自然科学基金;

关键词：

Levy risk model; Gerber-Shiu function; Fourier inversion; L-2-consistency; Estimation; CLASSICAL RISK MODEL; HIGH-FREQUENCY DATA; STATISTICAL-INFERENCE; NONPARAMETRIC-ESTIMATION; RUIN PROBABILITY; SMALL-TIME; DIFFUSION; PENALTY;

D O I：

10.1016/j.insmatheco.2017.02.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Consider an insurance surplus process driven by a Levy 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 L-2-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. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：84 / 98

页数：15

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