标题：Estimating the Gerber-Shiu Expected Discounted Penalty Function for Levy Risk Model
作者：Huang, Yujuan; Yu, Wenguang; Pan, Yu; Cui, Chaoran
作者机构：[Huang, Yujuan] Shandong Jiaotong Univ, Sch Sci, Jinan 250357, Shandong, Peoples R China.; [Yu, Wenguang] Shandong Univ Finance & Econ, Sch Insuranc 更多
通讯作者地址：[Yu, WG]Shandong Univ Finance & Econ, Sch Insurance, Jinan 250014, Shandong, Peoples R China.
来源：DISCRETE DYNAMICS IN NATURE AND SOCIETY
摘要：This paper studies the statistical estimation of the Gerber-Shiu discounted penalty functions in a general spectrally negative Levy risk model. Suppose that the claims process and the surplus process can be observed at a sequence of discrete time points. Using the observed data, the Gerber-Shiu functions are estimated by the Laguerre series expansion method. Consistent properties are studied under the large sample setting, and simulation results are also presented when the sample size is finite.