A0370
Title: Statistical inference for generalized Gerber-Shiu functions in risk theory
Authors: Yasutaka Shimizu - Waseda University (Japan) [presenting]
Abstract: The Gerber-Shiu function is an important ruin-related quantity in risk theory, which does not generally have an explicit form. If the underlying asset process is a spectrally negative Levy process, it has an integral representation via the scale function of the Levy process. A novel series representation is introduced for this scale function, employing Laguerre polynomials to construct a uniformly convergent approximate sequence. Additionally, statistical inference of the Gerber-Shiu functions is derived based on specific discrete observations and presenting estimators.
