The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions

DOI10.1007/S11009-023-10001-WMaRDI QIDQ6164844zbMATH OpenOpenAlexFDO

Authors Stefan Thonhauser

Publication date 4 July 2023

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11009-023-10001-w

zbMATH Keywords

weak convergenceMarkov processesrisk theoryGerber-Shiu functionsshot-noise

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Numerical methods (including Monte Carlo methods) (91G60) Continuous-time Markov processes on general state spaces (60J25) Continuous-time Markov processes on discrete state spaces (60J27)

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• Risk processes with shot noise Cox claim number process and reserve dependent premium rate
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
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Cited in

(2)

• Optimal dividend strategies for a catastrophe insurer
• Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform

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