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math.PR2022
Ruin Probabilities in a Markovian Shot-Noise Environment
Simon Pojer, Stefan Thonhauser
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 Cramér-Lundberg model, namely the con…
math.PR2017
Integral equations, quasi-Monte Carlo methods and risk modelling
Michael Preischl, Stefan Thonhauser, Robert F. Tichy
We survey a QMC approach to integral equations and develop some new applications to risk modeling. In particular, a rigorous error bound derived from Koksma-Hlawka type inequalitie…