Estimating the Gerber-Shiu Function in Lévy Insurance Risk Model by Fourier-Cosine Series Expansion

oleh: Wen Su, Yunyun Wang

Format: Article
Diterbitkan: MDPI AG 2021-06-01

Deskripsi

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 examples reveal that our estimator performs better than the Fourier transform method estimator when the sample size is finite.