Ruin by dynamic contagion claims
Dassios, A.
& Zhao, H.
(2012).
Ruin by dynamic contagion claims.
Insurance: Mathematics and Economics,
51(1), 93-106.
https://doi.org/10.1016/j.insmatheco.2012.03.006
& Zhao, H.
(2012).
Ruin by dynamic contagion claims.
Insurance: Mathematics and Economics,
51(1), 93-106.
https://doi.org/10.1016/j.insmatheco.2012.03.006
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.