Ruin probabilities and aggregate claims distributions for shot noise Cox processes

Détails

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Etat: Public
Version: de l'auteur
ID Serval
serval:BIB_ADBF719E704A
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Ruin probabilities and aggregate claims distributions for shot noise Cox processes
Périodique
Scandinavian Actuarial Journal
Auteur(s)
Albrecher H., Asmussen S.
ISSN
0346-1238
Statut éditorial
Publié
Date de publication
2006
Peer-reviewed
Oui
Numéro
2
Pages
86-110
Langue
anglais
Résumé
We consider a risk process R t where the claim arrival process is a superposition of a homogeneous Poisson process and a Cox process with a Poisson shot noise intensity process, capturing the effect of sudden increases of the claim intensity due to external events. The distribution of the aggregate claim size is investigated under these assumptions. For both light-tailed and heavy-tailed claim size distributions, asymptotic estimates for infinite-time and finite-time ruin probabilities are derived. Moreover, we discuss an extension of the model to an adaptive premium rule that is dynamically adjusted according to past claims experience.
Mots-clé
Adative premium rule, Adjustment coefficient, Convex ordering, Cramér-Lundberg approximation, Exponential change of measure, Gärtner-Ellis theorem, Large deviations, Phase-type distribution, Saddlepoint approximation, Subexponential distribution
Création de la notice
09/02/2009 20:25
Dernière modification de la notice
20/08/2019 16:17
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