Dassios, Angelos ORCID: 0000-0002-3968-2366, 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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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 |
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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 |
Date Deposited: | 19 Oct 2015 16:21 |
Last Modified: | 14 Sep 2024 06:51 |
Projects: | 71401147 |
Funders: | National Natural Science Foundation of China |
URI: | http://eprints.lse.ac.uk/id/eprint/64051 |
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