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/

zbMATH Keywords

importance sampling; ruin probability; risk model; rare-event simulation; piecewise-deterministic Markov process; martingale method; change of probability measure; renewal shot-noise Cox process

Mathematics Subject Classification ID

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)

Related Items

Moments of renewal shot-noise processes and their applications, Ruin probabilities in a Markovian shot-noise environment, A Cox model for gradually disappearing events, Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation, On double-boundary non-crossing probability for a class of compound processes with applications, A new uncertain insurance model with variational lower limit, Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times, Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions

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