A risk model with renewal shot-noise Cox process
DOI10.1016/J.INSMATHECO.2015.08.009zbMATH Open1348.91139OpenAlexW3125837313MaRDI QIDQ896743FDOQ896743
Authors: Angelos Dassios, Hongbiao Zhao, 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/
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importance samplingrisk modelruin probabilityrare-event simulationpiecewise-deterministic Markov processmartingale methodchange of probability measurerenewal shot-noise Cox process
Monte Carlo methods (65C05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Martingales with continuous parameter (60G44)
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Cited In (15)
- Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions
- A new aspect of a risk process and its statistical inference
- A new uncertain insurance model with variational lower limit
- Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity
- Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
- The distribution of the interval between events of a Cox process with shot noise intensity
- Risk model with change-point claims process
- On double-boundary non-crossing probability for a class of compound processes with applications
- Risk processes with shot noise Cox claim number process and reserve dependent premium rate
- Ruin probabilities in a Markovian shot-noise environment
- A Cox model for gradually disappearing events
- Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times
- Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation
- Moments of renewal shot-noise processes and their applications
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