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

DOI10.1007/S11134-006-9000-YMaRDI QIDQ877786zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

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• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• A large deviation estimate for ruin probabilities
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• Comparison methods for stochastic models and risks
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• Explosive Poisson shot noise processes with applications to risk reserves
• IBNR models with random delay distributions
• Importance Sampling for Stochastic Simulations
• Importance sampling in the Monte Carlo study of sequential tests
• Introduction to rare event simulation.
• Large deviation rate calculations for nonlinear detectors in Gaussian noise
• Large deviations and rare events in the study of stochastic algorithms
• Lundberg parameters for non standard risk processes
• On Monte Carlo estimation of large deviations probabilities
• Ruin probabilities allowing for delay in claims settlement
• Ruin probabilities via local adjustment coefficients
• Sample path large deviations principles for Poisson shot noise processes, and applications
• Simulating level-crossing probabilities by importance sampling
• Simulating the ruin probability of risk processes with delay in claim settlement

Cited in

(12)

• A large deviation principle for the risk process with varying premium
• Ruin problems under IBNR dynamics
• Linear stochastic fluid networks: rare-event simulation and Markov modulation
• Precise deviations for Cox processes with a shot noise intensity
• An IBNR-RBNS insurance risk model with marked Poisson arrivals
• Convergence of large deviation rates based on a link between wave governed random motions and ruin processes
• Gaussian approximation and moderate deviations of Poisson shot noises with application to compound generalized Hawkes processes
• 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
• Modeling least recently used caches with shot noise request processes
• Risk processes with shot noise Cox claim number process and reserve dependent premium rate

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