Centro de Documentacion de Fundación MAPFRE - Ruin by dynamic contagien claims

Notes: Sumario: 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 CramérLundberg approximation, Lundbergs 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.Related records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 02/07/2012 Volumen 51 Número 1 - julio 2012 , p. 93-106Materia / lugar / evento: Matemática del seguro Modelos actuariales Cálculo de probabilidades Probabilidad de ruina Otros autores: Zhao, Hongbiao
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