Risk processes with shot noise Cox claim number process and reserve dependent premium rate

DOI10.1016/j.insmatheco.2010.10.007zbMath1233.91152OpenAlexW1985545815MaRDI QIDQ2276212

Giovanni Luca Torrisi, Claudio Macci

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2108/86987

zbMATH Keywords

importance samplinglarge deviationsBayesian statisticsruin probabilityshot noise Cox process

Mathematics Subject Classification ID

Related Items (9)

CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY ⋮ Moments of renewal shot-noise processes and their applications ⋮ Precise deviations for Cox processes with a shot noise intensity ⋮ Sample path large deviations for the multiplicative Poisson shot noise process with compensation ⋮ Ruin probabilities in a Markovian shot-noise environment ⋮ A risk model with renewal shot-noise Cox process ⋮ Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions ⋮ The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions ⋮ Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity

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