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A Risk Model with Renewal Shot-Noise Cox Process

id：2262 时间：20161019 status：published 点击数：
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
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