A risk model with renewal shot-noise Cox process

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
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 Nov 2024 08:15
Projects:	71401147
Funders:	National Natural Science Foundation of China
URI:	http://eprints.lse.ac.uk/id/eprint/64051

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