Ruin by dynamic contagion claims

Angelos Dassios and Hongbiao Zhao

Insurance: Mathematics and Economics, 2012, vol. 51, issue 1, 93-106

Abstract: 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 Cramér–Lundberg approximation, Lundberg’s 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.

Keywords: Dynamic contagion process; Ruin probability; Generalised Lundberg’s fundamental equation; Cramér–Lundberg approximation; Change of measure; Martingale method (search for similar items in EconPapers)
JEL-codes: C10 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:1:p:93-106

DOI: 10.1016/j.insmatheco.2012.03.006

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