Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
Zhimin Zhang · Scandinavian Actuarial Journal · 2016
In this paper, we consider the nonparametric estimation of the Gerber–Shiu function in a compound Poisson risk model perturbed by diffusion. We present a more efficient estimator based on Fourier–Sinc series expansion. Our estimator is easily computed and has a faster convergence rate. Some simulation examples are provided to show that the estimator performs well when the sample size is finite.