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

DOI10.1007/S11009-023-10001-WzbMATH Open1517.60093OpenAlexW4319659029MaRDI QIDQ6164844FDOQ6164844

Authors: Stefan Thonhauser 

Publication date: 4 July 2023

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

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

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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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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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