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Ruin by dynamic contagien claims

Recurso electrónico / electronic resource
MARC record
Tag12Value
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001  MAP20120028043
003  MAP
005  20120629132251.0
008  120615e20120702esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20120016989‎$a‎Dassios, A.
24510‎$a‎Ruin by dynamic contagien claims‎$c‎A. Dassios, Hongbiao Zhao
520  ‎$a‎In 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.
650 1‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 1‎$0‎MAPA20080592011‎$a‎Modelos actuariales
650 1‎$0‎MAPA20080616106‎$a‎Cálculo de probabilidades
650 1‎$0‎MAPA20080603069‎$a‎Probabilidad de ruina
7001 ‎$0‎MAPA20120017771‎$a‎Zhao, Hongbiao
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎02/07/2012 Volumen 51 Número 1 - julio 2012 , p. 93-106