Risk processes with shot noise Cox claim number process and reserve dependent premium rate
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Cites work
- A Bayesian analysis of some nonparametric problems
- A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
- A large deviation estimate for ruin probabilities
- A large-deviation principle for Dirichlet posteriors
- An insensitivity property of Lundberg's estimate for delayed claims
- An inverse of Sanov's theorem
- Bayesian estimation of finite time ruin probabilities
- BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION
- Bayesian network management
- Big queues.
- Boundary-Value Problems for Random Walks and Large Deviations in Function Spaces
- Characterization of the law of the iterated logarithm in Banach spaces
- Comparison methods for stochastic models and risks
- Delay in claim settlement and ruin probability approximations
- Explosive Poisson shot noise processes with applications to risk reserves
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- Importance sampling in the Monte Carlo study of sequential tests
- Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
- Large deviations and rare events in the study of stochastic algorithms
- Large deviations for multi-dimensional reflected fractional Brownian motion
- Large deviations for vector-valued Lévy processes
- Mixtures of conjugate prior distributions and large deviations for level crossing probabilities
- On Ultimate Ruin in a Delayed-Claims Risk Model
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
- Ruin probabilities via local adjustment coefficients
- Shot noise Cox processes
- Simulating level-crossing probabilities by importance sampling
Cited in
(14)- Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
- Explosive Poisson shot noise processes with applications to risk reserves
- Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions
- Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
- Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity
- Catastrophe insurance derivatives pricing using a Cox process with jump diffusion CIR intensity
- Moments of renewal shot-noise processes and their applications
- Precise deviations for Cox processes with a shot noise intensity
- Sample path large deviations for the multiplicative Poisson shot noise process with compensation
- Ruin probabilities in a Markovian shot-noise environment
- The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions
- Optimal dividend strategies for a catastrophe insurer
- A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
- A risk model with renewal shot-noise Cox process
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