Ruin by dynamic contagion claims

DOI10.1016/J.INSMATHECO.2012.03.006MaRDI QIDQ2444709zbMATH OpenOpenAlexFDO

Authors 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

change of measureCramér-Lundberg approximationdynamic contagion processgeneralised Lundberg's fundamental equationmartingale methodruin probability

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Applications of branching processes (60J85)

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Cites work

• A dynamic contagion process
• Aspects of risk theory
• Conjugate processes and the simulation of ruin problems
• Exponential inequalities for ruin probabilities in the Cox case
• Finite-time Lundberg inequalities in the Cox case
• scientific article; zbMATH DE number 3901778 (Why is no real title available?)
• Lundberg inequalities for a Cox model with a piecewise constant intensity
• Martingales and insurance risk
• On the Time Value of Ruin
• Risk processes with non-stationary Hawkes claims arrivals
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
• Spectra of some self-exciting and mutually exciting point processes
• Stochastic simulation: Algorithms and analysis

Cited in

(26)

• Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
• Large deviations and applications for Markovian Hawkes processes with a large initial intensity
• Limit theorems for non-Markovian marked dynamic contagion processes
• A bivariate shot noise self-exciting process for insurance
• Contagion modeling between the financial and insurance markets with time changed processes
• Hawkes processes in insurance: risk model, application to empirical data and optimal investment
• Multivariate claim processes with rough intensities: properties and estimation
• A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
• A dynamic contagion process
• Constant proportion portfolio insurance strategies in contagious markets
• Moments of renewal shot-noise processes and their applications
• Mean-variance portfolio selection in contagious markets
• An expansion formula for Hawkes processes and application to cyber-insurance derivatives
• Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
• Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources
• On the cumulant transforms for Hawkes processes
• Optimal dividend strategies for a catastrophe insurer
• Hawkes processes in energy markets: modelling, estimation and derivatives pricing
• Contract design under an enhanced dynamic contagious process
• Risk processes with non-stationary Hawkes claims arrivals
• Modeling Multistate Health Transitions with a Most-Recent-Event Hawkes Process
• Functional laws of large numbers for marked Hawkes processes and compound marked Hawkes processes
• Extension of the risk model from a Hawkes variable memory process via the Spearman copula
• Optimal investment and per-loss reinsurance strategies under a dynamic contagion claims process
• Optimal reinsurance-investment strategy for a dynamic contagion claim model
• A risk model with renewal shot-noise Cox process

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