Ruin by dynamic contagien claims
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20120028043 | ||
| 003 | MAP | ||
| 005 | 20120629132251.0 | ||
| 008 | 120615e20120702esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20120016989$aDassios, A. | |
| 245 | 1 | 0 | $aRuin by dynamic contagien claims$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 | |
| 700 | 1 | $0MAPA20120017771$aZhao, Hongbiao | |
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g02/07/2012 Volumen 51 Número 1 - julio 2012 , p. 93-106 |