Ruin by dynamic contagion claims

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2012) Ruin by dynamic contagion claims. Insurance: Mathematics and Economics, 51 (1). pp. 93-106. ISSN 0167-6687

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Abstract

In this paper, we consider a risk process with the arrival of claims modelled by a dynamic contagion process, a generalisation of the Cox process and Hawkes process introduced by Dassios and Zhao (2011). We derive results for the infinite horizon model that are generalisations of the Cramér-Lundberg approximation, Lundberg's fundamental equation, some asymptotics as well as bounds for the probability of ruin. Special attention is given to the case of exponential jumps and a numerical example is provided.

Item Type:	Article
Official URL:	http://www.journals.elsevier.com/insurance-mathema...
Additional Information:	© 2012 Elsevier
Divisions:	Statistics
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance
JEL classification:	C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C10 - General
Date Deposited:	25 Apr 2012 13:22
Last Modified:	13 Nov 2024 00:33
URI:	http://eprints.lse.ac.uk/id/eprint/43324

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