Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income-Reference-Cited by-同舟云学术

Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income

Published:2019-07-07 Issue: Volume:2019 Page:1-18
ISSN:1026-0226
Container-title:Discrete Dynamics in Nature and Society
language:en
Short-container-title:Discrete Dynamics in Nature and Society

Author:

Wang Yunyun¹,Yu Wenguang²^ORCID,Huang Yujuan³^ORCID

Affiliation:

1. College of Mathematics and Statistics, Chongqing University, Chongqing 401331, China

2. School of Insurance, Shandong University of Finance and Economics, Jinan 250014, China

3. School of Science, Shandong Jiaotong University, Jinan, Shandong 250357, China

Abstract

In this paper, we consider the compound Poisson risk model with stochastic premium income. We propose a new estimation of Gerber-Shiu function by an efficient method: Fourier-cosine series expansion. We show that the estimator is easily computed and has a fast convergence rate. Some simulation examples are illustrated to show that the estimation has a good performance when the sample size is finite.

Funder

National Natural Science Foundation of China

Publisher

Hindawi Limited

Subject

Modelling and Simulation

Link

http://downloads.hindawi.com/journals/ddns/2019/5071268.pdf

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