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Ruin by dynamic contagien claims

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      <subfield code="a">Dassios, A.</subfield>
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      <subfield code="a">Ruin by dynamic contagien claims</subfield>
      <subfield code="c">A. Dassios, Hongbiao Zhao</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="a">Modelos actuariales</subfield>
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      <subfield code="a">Cálculo de probabilidades</subfield>
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      <subfield code="0">MAPA20080603069</subfield>
      <subfield code="a">Probabilidad de ruina</subfield>
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      <subfield code="a">Zhao, Hongbiao</subfield>
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      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">02/07/2012 Volumen 51 Número 1  - julio 2012 , p. 93-106</subfield>
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