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

We consider a suitable scaling, called the slow Markov walk limit, for a risk process with shot noise Cox claim number process and reserve dependent premium rate. We provide large deviation estimates for the ruin probability. Furthermore, we find an asymptotically efficient law for the simulation of the ruin probability using importance sampling. Finally, we present asymptotic bounds for ruin probabilities in the Bayesian setting.

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Year of publication:	2011
Authors:	Macci, Claudio ; Torrisi, Giovanni Luca
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 48.2011, 1, p. 134-145
Publisher:	Elsevier
Keywords:	Shot noise Cox process Large deviations Ruin probability Importance sampling Bayesian statistics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008865428