A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling

DOI10.1007/s11134-006-9000-yzbMath1178.60061OpenAlexW2035607369MaRDI QIDQ877786

Claudio Macci, Giovanni Luca Torrisi, Ayalvadi J. Ganesh

Publication date: 3 May 2007

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11134-006-9000-y

zbMATH Keywords

Importance samplingPoisson shot noiseLarge deviationsRuin probabilitiesRisk processes

Mathematics Subject Classification ID

Related Items (9)

Precise deviations for Cox processes with a shot noise intensity ⋮ Modeling LEAST RECENTLY USED caches with Shot Noise request processes ⋮ Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity ⋮ Linear stochastic fluid networks: rare-event simulation and Markov modulation ⋮ The Time to Ruin in Some Additive Risk Models with Random Premium Rates ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ Risk processes with shot noise Cox claim number process and reserve dependent premium rate ⋮ Asymptotic analysis of Poisson shot noise processes, and applications ⋮ Ruin problems under IBNR dynamics

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