Dassios, Angelos and Zhao, Hongbiao (2012) Ruin by dynamic contagion claims. Insurance: mathematics and economics, 51 (1). pp. 93-106. ISSN 0167-6687
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 |
| Uncontrolled Keywords: | change of measure, Cramér-Lundberg approximation, dynamic contagion process, generalised Lundberg's fundamental equation, Martingale method, primary, ruin probability, secondary |
| 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/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/43324/ |
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