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Asymptotically Normal Estimators of the Gerber-Shiu Function in Classical Insurance Risk Model

Author

Listed:
  • Wen Su

    (School of Insurance, Shandong University of Finance and Economics, Jinan 250014, China)

  • Wenguang Yu

    (School of Insurance, Shandong University of Finance and Economics, Jinan 250014, China)

Abstract

Nonparametric estimation of the Gerber-Shiu function is a popular topic in insurance risk theory. Zhang and Su (2018) proposed a novel method for estimating the Gerber-Shiu function in classical insurance risk model by Laguerre series expansion based on the claim number and claim sizes of sample. However, whether the estimators are asymptotically normal or not is unknown. In this paper, we give the details to verify the asymptotic normality of these estimators and present some simulation examples to support our result.

Suggested Citation

  • Wen Su & Wenguang Yu, 2020. "Asymptotically Normal Estimators of the Gerber-Shiu Function in Classical Insurance Risk Model," Mathematics, MDPI, vol. 8(10), pages 1-11, September.
    • Handle: RePEc:gam:jmathe:v:8:y:2020:i:10:p:1638-:d:417589
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    References listed on IDEAS

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    1. Zhang, Zhimin & Yang, Hailiang, 2013. "Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 24-35.
    2. Tsai, Cary Chi-Liang, 2001. "On the discounted distribution functions of the surplus process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 401-419, June.
    3. Hans Gerber & Elias Shiu, 1998. "On the Time Value of Ruin," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 48-72.
    4. Gerber, Hans U. & Landry, Bruno, 1998. "On the discounted penalty at ruin in a jump-diffusion and the perpetual put option," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 263-276, July.
    5. Zhang, Zhimin & Yang, Hailiang, 2014. "Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 168-177.
    6. Chuancun Yin & Chunwei Wang, 2010. "The Perturbed Compound Poisson Risk Process with Investment and Debit Interest," Methodology and Computing in Applied Probability, Springer, vol. 12(3), pages 391-413, September.
    7. Tsai, Cary Chi-Liang, 2003. "On the expectations of the present values of the time of ruin perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 413-429, July.
    8. Yasutaka Shimizu & Zhimin Zhang, 2019. "Asymptotically Normal Estimators of the Ruin Probability for Lévy Insurance Surplus from Discrete Samples," Risks, MDPI, vol. 7(2), pages 1-22, April.
    9. Huiming Zhu & Ya Huang & Xiangqun Yang & Jieming Zhou, 2014. "On the Expected Discounted Penalty Function for the Classical Risk Model with Potentially Delayed Claims and Random Incomes," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-12, March.
    10. Yu, Wenguang, 2013. "Some results on absolute ruin in the perturbed insurance risk model with investment and debit interests," Economic Modelling, Elsevier, vol. 31(C), pages 625-634.
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    Cited by:

    1. Yue He & Reiichiro Kawai & Yasutaka Shimizu & Kazutoshi Yamazaki, 2022. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Papers 2203.10680, arXiv.org, revised Dec 2022.
    2. Yujuan Huang & Jing Li & Hengyu Liu & Wenguang Yu, 2021. "Estimating Ruin Probability in an Insurance Risk Model with Stochastic Premium Income Based on the CFS Method," Mathematics, MDPI, vol. 9(9), pages 1-17, April.
    3. He, Yue & Kawai, Reiichiro & Shimizu, Yasutaka & Yamazaki, Kazutoshi, 2023. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 1-28.
    4. Yuan Gao & Honglong You, 2021. "The Speed of Convergence of the Threshold Estimator of Ruin Probability under the Tempered α -Stable Lévy Subordinator," Mathematics, MDPI, vol. 9(21), pages 1-9, October.
    5. 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.

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