Abstract
In this paper, we consider an insurance risk model with two-sided jumps, where downward and upward jumps typically represent claim amounts and random gains, respectively. We use the Laguerre series to expand the Gerber–Shiu function and estimate it based on observed information. Moreover, we show that the estimator is easily computed and has a fast convergence rate. Numerical examples are also provided to show the efficiency of our method when the sample size is finite.
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