A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling

DOI10.1007/S11134-006-9000-YzbMATH Open1178.60061OpenAlexW2035607369MaRDI QIDQ877786FDOQ877786

Claudio Macci, Giovanni Luca Torrisi, Ayalvadi J. Ganesh

Publication date: 3 May 2007

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11134-006-9000-y

zbMATH Keywords

Poisson shot noiseLarge deviationsImportance samplingRuin probabilitiesRisk processes

Mathematics Subject Classification ID

Large deviations (60F10) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Cites Work

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• Ruin probabilities allowing for delay in claims settlement
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• Sample path large deviations principles for Poisson shot noise processes, and applications
• Ruin probabilities via local adjustment coefficients
• Simulating level-crossing probabilities by importance sampling
• Large deviations and rare events in the study of stochastic algorithms
• IBNR models with random delay distributions
• Asymptotic results for perturbed risk processes with delayed claims
• A large deviation estimate for ruin probabilities

Cited In (9)

• Ruin problems under IBNR dynamics
• Precise deviations for Cox processes with a shot noise intensity
• Linear stochastic fluid networks: rare-event simulation and Markov modulation
• An IBNR-RBNS insurance risk model with marked Poisson arrivals
• Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity
• Asymptotic analysis of Poisson shot noise processes, and applications
• The Time to Ruin in Some Additive Risk Models with Random Premium Rates
• Risk processes with shot noise Cox claim number process and reserve dependent premium rate
• Modeling LEAST RECENTLY USED caches with Shot Noise request processes

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