Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income
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 examp...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wiley
2019-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2019/5071268 |
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| _version_ | 1832545648823500800 |
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| author | Yunyun Wang Wenguang Yu Yujuan Huang |
| author_facet | Yunyun Wang Wenguang Yu Yujuan Huang |
| author_sort | Yunyun Wang |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-6d5a658265f84831ae810bfb83ae7ea9 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2019-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-6d5a658265f84831ae810bfb83ae7ea92025-02-03T07:25:04ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2019-01-01201910.1155/2019/50712685071268Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium IncomeYunyun Wang0Wenguang Yu1Yujuan Huang2College of Mathematics and Statistics, Chongqing University, Chongqing 401331, ChinaSchool of Insurance, Shandong University of Finance and Economics, Jinan 250014, ChinaSchool of Science, Shandong Jiaotong University, Jinan, Shandong 250357, ChinaIn 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.http://dx.doi.org/10.1155/2019/5071268 |
| spellingShingle | Yunyun Wang Wenguang Yu Yujuan Huang Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income Discrete Dynamics in Nature and Society |
| title | Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income |
| title_full | Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income |
| title_fullStr | Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income |
| title_full_unstemmed | Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income |
| title_short | Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income |
| title_sort | estimating the gerber shiu function in a compound poisson risk model with stochastic premium income |
| url | http://dx.doi.org/10.1155/2019/5071268 |
| work_keys_str_mv | AT yunyunwang estimatingthegerbershiufunctioninacompoundpoissonriskmodelwithstochasticpremiumincome AT wenguangyu estimatingthegerbershiufunctioninacompoundpoissonriskmodelwithstochasticpremiumincome AT yujuanhuang estimatingthegerbershiufunctioninacompoundpoissonriskmodelwithstochasticpremiumincome |