A risk model with renewal shot-noise Cox process
DOI10.1016/j.insmatheco.2015.08.009zbMath1348.91139MaRDI QIDQ896743
Hongbiao Zhao, Angelos Dassios, Ji-Wook Jang
Publication date: 14 December 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/64051/
importance sampling; ruin probability; risk model; rare-event simulation; piecewise-deterministic Markov process; martingale method; change of probability measure; renewal shot-noise Cox process
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
60G44: Martingales with continuous parameter
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
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