Ruin probabilities and aggregrate claims distributions for shot noise Cox processes

Hansjörg Albrecher and Søren Asmussen c

Scandinavian Actuarial Journal, 2006, vol. 2006, issue 2, 86-110

Abstract: We consider a risk process R t where the claim arrival process is a superposition of a homogeneous Poisson process and a Cox process with a Poisson shot noise intensity process, capturing the effect of sudden increases of the claim intensity due to external events. The distribution of the aggregate claim size is investigated under these assumptions. For both light-tailed and heavy-tailed claim size distributions, asymptotic estimates for infinite-time and finite-time ruin probabilities are derived. Moreover, we discuss an extension of the model to an adaptive premium rule that is dynamically adjusted according to past claims experience.

Date: 2006
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DOI: 10.1080/03461230600630395

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