A risk model with renewal shot-noise Cox process

Angelos Dassios, Jiwook Jang and Hongbiao Zhao

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

Keywords: Risk model; Ruin probability; Renewal shot-noise Cox process; Piecewise-deterministic Markov process; Martingale method; Monte Carlo simulation; Importance sampling; Change of probability measure; Rare-event simulation (search for similar items in EconPapers)
JEL-codes: C10 C60 G22 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Published in Insurance: Mathematics and Economics, 2015, 65, pp. 55-65. ISSN: 0167-6687

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:64051

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