Ruin by dynamic contagien claims

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<dc:creator>Dassios, A.</dc:creator>
<dc:creator>Zhao, Hongbiao</dc:creator>
<dc:date>2012-07-02</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/138499.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Modelos actuariales</dc:subject>
<dc:subject xml:lang="es">Cálculo de probabilidades</dc:subject>
<dc:subject xml:lang="es">Probabilidad de ruina</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Ruin by dynamic contagien claims</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 02/07/2012 Volumen 51 Número 1  - julio 2012 , p. 93-106</dc:relation>
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