Estimating the Gerber-Shiu Function in Lévy Insurance Risk Model by Fourier-Cosine Series Expansion
In this paper, we propose an estimator for the Gerber–Shiu function in a pure-jump Lévy risk model when the surplus process is observed at a high frequency. The estimator is constructed based on the Fourier–Cosine series expansion and its consistency property is thoroughly studied. Simulation exampl...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-06-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/9/12/1402 |