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Ruin by dynamic contagien claims

Recurso electrónico / electronic resource
MAP20120028043
Dassios, A.
Ruin by dynamic contagien claims / A. Dassios, Hongbiao Zhao
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
En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 02/07/2012 Volumen 51 Número 1 - julio 2012 , p. 93-106
1. Matemática del seguro . 2. Modelos actuariales . 3. Cálculo de probabilidades . 4. Probabilidad de ruina . I. Zhao, Hongbiao . II. Title.