Brio, Esther B. Del; Perote, Javier - In: Insurance: Mathematics and Economics 51 (2012) 3, pp. 531-537
This paper compares two alternative estimation methods for estimating the density underlying financial returns specified in terms of a finite Gram–Charlier (GC) expansion. Maximum likelihood (ML) is the most widely employed method despite the fact that it is only consistent under the Gaussian...