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A risk model with renewal shot-noise Cox process

Dassios, Angelos, Jang, Jiwook and Zhao, Hongbiao (2015) A risk model with renewal shot-noise Cox process. Insurance: Mathematics and Economics, 65. pp. 55-65. ISSN 0167-6687

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Identification Number: 10.1016/j.insmatheco.2015.08.009

Abstract

In this paper we generalise the risk models beyond the ordinary framework of affine processes or Markov processes and study a risk process where the claim arrivals are driven by a Cox process with renewal shot-noise intensity. The upper bounds of the finite-horizon and infinite-horizon ruin probabilities are investigated and an efficient and exact Monte Carlo simulation algorithm for this new process is developed. A more efficient estimation method for the infinite-horizon ruin probability based on importance sampling via a suitable change of probability measure is also provided; illustrative numerical examples are also provided.

Item Type: Article
Official URL: http://www.journals.elsevier.com/insurance-mathema...
Additional Information: © 2015 Elsevier B.V
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
JEL classification: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C10 - General
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods and Programming > C60 - General
G - Financial Economics > G2 - Financial Institutions and Services > G22 - Insurance; Insurance Companies
Sets: Departments > Statistics
Date Deposited: 19 Oct 2015 16:21
Last Modified: 20 Feb 2019 11:25
Projects: 71401147
Funders: National Natural Science Foundation of China
URI: http://eprints.lse.ac.uk/id/eprint/64051

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