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Shock Models Driven by a Cluster Process with Lévy Perturbation and their Applications in Insurance Risk

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2 Author(s)
Jianming Bai ; Sch. of Manage., Lanzhou Univ., Lanzhou, China ; Fanghui Liu

We construct a class of new cumulative and extreme shock models based on cluster point processes with insurance risk background. For describing the randomicity of environment, a perturbation process is also incorporated into our models. Under the basic assumptions that the primary shock process is a non-homogeneous Poisson and the perturbing term is a Lévy process, we investigate the asymptotic behaviors of the reliability system and applied the corresponding results to non-life insurance risk issue.

Published in:

Business Intelligence and Financial Engineering (BIFE), 2012 Fifth International Conference on

Date of Conference:

18-21 Aug. 2012