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Statistical estimation for some dividend problems under the compound Poisson risk model

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  • Xie, Jiayi
  • Zhang, Zhimin

Abstract

In this paper, we consider some dividend problems in the classical compound Poisson risk model under a constant barrier dividend strategy. Suppose that the Poisson intensity for the claim number process and the distribution for the individual claim sizes are both unknown. We use the COS method to study the statistical estimation for the expected present value of dividend payments before ruin and the expected discounted penalty function. The convergence rates under large sample setting are derived. Some simulation results are also given to show effectiveness of the estimators under finite sample setting.

Suggested Citation

  • Xie, Jiayi & Zhang, Zhimin, 2020. "Statistical estimation for some dividend problems under the compound Poisson risk model," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 101-115.
    • Handle: RePEc:eee:insuma:v:95:y:2020:i:c:p:101-115
    DOI: 10.1016/j.insmatheco.2020.09.002
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    References listed on IDEAS

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