| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076756 | Insurance: Mathematics and Economics | 2012 | 14 Pages |
Abstract
⺠Modelling of claims by a dynamic contagion process. ⺠Process generalises the Cox process and the Hawkes process. ⺠Asymptotics of ruin probabilities are discussed. ⺠A very efficient simulation procedure is implemented.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Angelos Dassios, Hongbiao Zhao,