Ruin by dynamic contagien claims

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<title>Ruin by dynamic contagien claims</title>
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<namePart>Dassios, A.</namePart>
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<namePart>Zhao, Hongbiao</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">A. Dassios, Hongbiao Zhao</note>
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<topic>Matemática del seguro</topic>
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<topic>Cálculo de probabilidades</topic>
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<topic>Probabilidad de ruina</topic>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>02/07/2012 Volumen 51 Número 1  - julio 2012 , p. 93-106</text>
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