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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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Identification Number: 10.1016/j.insmatheco.2012.03.006


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
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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: 20 Jul 2021 02:12

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