Ruin Probabilities in a Markovian Shot-Noise Environment

Simon Pojer; Stefan Thonhauser

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arXiv · 2205.04896

Ruin Probabilities in a Markovian Shot-Noise Environment

Simon Pojer·Stefan Thonhauser

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Abstract

We consider a risk model with a counting process whose intensity is a Markovian shot-noise process, to resolve one of the disadvantages of the Cram\'er-Lundberg model, namely the constant jump intensity of the Poisson process. Due to this structure, we can apply the theory of PDMPs on a multivariate process containing the intensity and the reserve process, which allows us to identify a family of martingales. Eventually, we use change of measure techniques to derive an upper bound for the ruin probability in this model. Exploiting a recurrent structure of the shot-noise process, even the asymptotic behaviour of the ruin probability can be determined.

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Simon Pojer, Stefan Thonhauser. 2022-05-10. Ruin Probabilities in a Markovian Shot-Noise Environment. https://arxiv.org/abs/2205.04896

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