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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Identification Number: 10.1016/j.insmatheco.2012.03.006
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 |
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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: | 01 Oct 2024 19:12 |
URI: | http://eprints.lse.ac.uk/id/eprint/43324 |
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