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

Yunyun Wang, Wenguang Yu and Yujuan Huang

Discrete Dynamics in Nature and Society, 2019, vol. 2019, 1-18

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.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:5071268

DOI: 10.1155/2019/5071268

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