Nonparametric estimation of the expected discounted penalty function in the compound poisson model

HIGHLIGHTS

• who: Florian Dussap from the Université Paris Cité, Paris, France have published the article: Nonparametric estimation of the expected discounted penalty function in the compound Poisson model, in the Journal: (JOURNAL)
• what: The authors propose a nonparametric estimator of the expected discounted penalty function in the compound Poisson risk model. The authors provide an upper bound on the MISE of the estimator and the authors show it achieves parametric rates of convergence on Sobolev-Laguerre spaces without needing a bias-variance compromise. The authors compare the estimator with the Laguerre deconvolution method. The authors compare . . .
  

   

  

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