SOE
Chow Institute
User Center
中
EN
About WISE
People
Committee of Academic Consultants
Faculty Directory
Staff Directory
Research
Publications
Working Papers
Facilities&Centers
Education
Overview
Undergraduate Programs
Graduate Programs
Study-Abroad MA Programs
Exchange Programs
Executive Education
News & Events
News
Announcements
Conferences
Seminars & Conferences
Job Openings
SOE
Chow Institute
User Center
中
EN
About WISE
Introduction to WISE
Contact Us
Map and Direction
People
Committee of Academic Consultants
Faculty Directory
Staff Directory
Research
Publications
Working Papers
Facilities&Centers
Education
Overview
Undergraduate Programs
Graduate Programs
Study-Abroad MA Programs
Exchange Programs
Executive Education
News & Events
News
Announcements
Conferences
Seminars & Conferences
Job Openings
Research
Home
->
Research
->
Publications
->
Content
Research
Publications
Working Papers
Facilities&Centers
Finance & Economics Experimental Lab
MOE Key Lab in Econometrics
Fujian Provincial Key Lab in Statistics
Center for Econometrics Research
Center for Financial Research
Center for Research in Labor Economics
Center for Macroeconomics Research
Center for Statistics Research
Center for Information Technology
SAS Center for Excellence in Econometrics
High-Speed Computing Cluster
A Risk Model with Renewal Shot-Noise Cox Process
Id：2262
Date：20161019
Status：published
ClickTimes：
作者
Angelos Dassios, Hongbiao Zhao
正文
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
关键词：
Risk model; Ruin probability; Renewal shot-noise Cox process; Piecewise-deterministic Markov process; Martingale method; Importance sampling; Change of probability measure; Rare-event simulation
TOP
