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Ruin by dynamic contagion claims

Dassios, Angelos 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
Library of Congress subject classification: H Social Sciences > HA Statistics
H Social Sciences > HC Economic History and Conditions
H Social Sciences > HG Finance
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C10 - General
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 25 Apr 2012 13:22
URL: http://eprints.lse.ac.uk/43324/

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