hazard rate estimator
Recently Published Documents


TOTAL DOCUMENTS

6
(FIVE YEARS 0)

H-INDEX

1
(FIVE YEARS 0)

Risks ◽  
2020 ◽  
Vol 8 (1) ◽  
pp. 24
Author(s):  
Josef Anton Strini ◽  
Stefan Thonhauser

We discuss aspects of numerical methods for the computation of Gerber-Shiu or discounted penalty-functions in renewal risk models. We take an analytical point of view and link this function to a partial-integro-differential equation and propose a numerical method for its solution. We show weak convergence of an approximating sequence of piecewise-deterministic Markov processes (PDMPs) for deriving the convergence of the procedures. We will use estimated PDMP characteristics in a subsequent step from simulated sample data and study its effect on the numerically computed Gerber-Shiu functions. It can be seen that the main source of instability stems from the hazard rate estimator. Interestingly, results obtained using MC methods are hardly affected by estimation.



2018 ◽  
Vol 60 (1) ◽  
pp. 43-64
Author(s):  
Hairui Hua ◽  
Dimitrios Bagkavos ◽  
Prakash N. Patil


2011 ◽  
Vol 40 (24) ◽  
pp. 4409-4416
Author(s):  
Ülkü Gürler ◽  
Paul Kvam


Sign in / Sign up

Export Citation Format

Share Document