Ruin by Dynamic Contagion Claims

35 Pages Posted: 15 Apr 2012

See all articles by Angelos Dassios

Angelos Dassios

London School of Economics & Political Science (LSE) - Department of Statistics

Hongbiao Zhao

Shanghai University of Finance and Economics; London School of Economics & Political Science (LSE)

Date Written: August 22, 2011

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

JEL Classification: C10

Suggested Citation

Dassios, Angelos and Zhao, Hongbiao, Ruin by Dynamic Contagion Claims (August 22, 2011). Insurance: Mathematics and Economics, Vol. 51, No. 1, pp. 93-106, July 2012, Available at SSRN: https://ssrn.com/abstract=2039772

Angelos Dassios (Contact Author)

London School of Economics & Political Science (LSE) - Department of Statistics ( email )

Houghton Street
London, England WC2A 2AE
United Kingdom

Hongbiao Zhao

Shanghai University of Finance and Economics ( email )

No. 777 Guoding Road
Yangpu District
Shanghai, Shanghai 200433
China

HOME PAGE: http://hongbiaozhao.weebly.com/

London School of Economics & Political Science (LSE)

Houghton Street
London, WC2A 2AE
United Kingdom

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
83
Abstract Views
662
Rank
612,936
PlumX Metrics