Estimating the Gerber–Shiu function by Fourier–Sinc series expansion

Zhimin Zhang

Scandinavian Actuarial Journal, 2017, vol. 2017, issue 10, 898-919

Abstract: In this paper, we consider the nonparametric estimation of the Gerber–Shiu function in a compound Poisson risk model perturbed by diffusion. We present a more efficient estimator based on Fourier–Sinc series expansion. Our estimator is easily computed and has a faster convergence rate. Some simulation examples are provided to show that the estimator performs well when the sample size is finite.

Date: 2017
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DOI: 10.1080/03461238.2016.1268541

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