Ruin probabilities in a Markovian shot-noise environment

DOI10.1017/jpr.2022.63zbMath1518.91225arXiv2205.04896OpenAlexW4308922323MaRDI QIDQ6102052

Stefan Thonhauser, Unnamed Author

Publication date: 8 May 2023

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2205.04896

zbMATH Keywords

ruin theoryCox processesrisk theorypiecewise-deterministic Markov processes (PDMP)

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)

Related Items (1)

The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions

Cites Work

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• Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts

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