A risk model with renewal shot-noise Cox process

DOI10.1016/j.insmatheco.2015.08.009zbMath1348.91139OpenAlexW3125837313MaRDI QIDQ896743

Hongbiao Zhao, Angelos Dassios, Ji-Wook Jang

Publication date: 14 December 2015

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

Full work available at URL: http://eprints.lse.ac.uk/64051/

zbMATH Keywords

importance samplingruin probabilityrisk modelrare-event simulationpiecewise-deterministic Markov processmartingale methodchange of probability measurerenewal shot-noise Cox process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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