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Estimating the Gerber–Shiu Function in the Two-Sided Jumps Risk Model by Laguerre Series Expansion

Author

Listed:
  • Kang Hu

    (Key Laboratory of Computing and Stochastic Mathematics (Ministry of Education), School of Mathematics and Statistics, Hunan Normal University, Changsha 410081, China)

  • Ya Huang

    (School of Business, Hunan Normal University, Changsha 410081, China)

  • Yingchun Deng

    (School of International Business, Hunan University of Information Technology, Changsha 410151, China)

Abstract

In this paper, we consider an insurance risk model with two-sided jumps, where downward and upward jumps typically represent claim amounts and random gains, respectively. We use the Laguerre series to expand the Gerber–Shiu function and estimate it based on observed information. Moreover, we show that the estimator is easily computed and has a fast convergence rate. Numerical examples are also provided to show the efficiency of our method when the sample size is finite.

Suggested Citation

  • Kang Hu & Ya Huang & Yingchun Deng, 2023. "Estimating the Gerber–Shiu Function in the Two-Sided Jumps Risk Model by Laguerre Series Expansion," Mathematics, MDPI, vol. 11(9), pages 1-30, April.
    • Handle: RePEc:gam:jmathe:v:11:y:2023:i:9:p:1994-:d:1130818
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    References listed on IDEAS

    as
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