Ruin by dynamic contagion claims

Insurance: Mathematics and Economics

Volumn 51, Issue 1, 2012, Pages 93-106

  Dassios, Angelos ^a   Zhao, Hongbiao ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Change of measure; Cram r Lundberg approximation; Dynamic contagion process; Generalised Lundberg's fundamental equation; Martingale method; Ruin probability

Indexed keywords

EID: 84859488894     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2012.03.006     Document Type: Article

References (13)

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