Risk processes with shot noise Cox claim number process and reserve dependent premium rate

Claudio Macci and Giovanni Luca Torrisi

Insurance: Mathematics and Economics, 2011, vol. 48, issue 1, 134-145

Abstract: We consider a suitable scaling, called the slow Markov walk limit, for a risk process with shot noise Cox claim number process and reserve dependent premium rate. We provide large deviation estimates for the ruin probability. Furthermore, we find an asymptotically efficient law for the simulation of the ruin probability using importance sampling. Finally, we present asymptotic bounds for ruin probabilities in the Bayesian setting.

Keywords: Shot; noise; Cox; process; Large; deviations; Ruin; probability; Importance; sampling; Bayesian; statistics (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:48:y:2011:i:1:p:134-145

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