- A Risk Model with Renewal Shot-Noise Cox Process
- Angelos Dassios, Jiwook Jang, Hongbiao Zhao
- Insurance: Mathematics and Economics 65 (2015) 55–65
- 2267 20160218 () Views:24629
- 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.
- JEL-Codes: G22 C10 C60
- Keywords: Risk model Ruin probability Renewal shot-noise Cox process Piecewise-deterministic Markov process Martingale method Importance sampling Change of probability measure Rare-event simulation
Download full text Downloads:23906