A risk model with renewal shot-noise Cox process

Angelos Dassios, Jiwook Jang, Hongbiao Zhao*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

7 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)55-65
Number of pages11
JournalInsurance: Mathematics and Economics
Volume65
DOIs
Publication statusPublished - 1 Nov 2015

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