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Risk processes with shot noise Cox claim number process and reserve dependent premium rate. (English) Zbl 1233.91152

Summary: 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.

MSC:

91B30 Risk theory, insurance (MSC2010)
60F10 Large deviations
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