Ruin by dynamic contagion claims

DOI10.1016/j.insmatheco.2012.03.006zbMath1284.91224OpenAlexW3121777840MaRDI QIDQ2444709

Angelos Dassios, Hongbiao Zhao

Publication date: 10 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.03.006

zbMATH Keywords

ruin probabilitychange of measuremartingale methodCramér-Lundberg approximationdynamic contagion processgeneralised Lundberg's fundamental equation

Mathematics Subject Classification ID

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Cites Work

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• Risk processes with non-stationary Hawkes claims arrivals
• Conjugate processes and the simulation of ruin problems
• Aspects of risk theory
• Stochastic simulation: Algorithms and analysis
• Finite-time Lundberg inequalities in the Cox case
• A dynamic contagion process
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
• Exponential inequalities for ruin probabilities in the Cox case
• Martingales and insurance risk
• Lundberg inequalities for a Cox model with a piecewise constant intensity
• Spectra of some self-exciting and mutually exciting point processes
• On the Time Value of Ruin

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