Add to ORKGIn 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 Das-sios 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 two numerical examples are provided
This paper examines an integro-differential equation of the survival probability 4 u) for a class o...
The explanation of risk contagion among economic players—not only in financial crises—and how they s...
We consider a risk process Rt where the claim arrival process is a superposi-tion of a homogeneous P...
In this paper, we consider a risk process with the arrival of claims modelled by a dynamic contagion...
We introduce a new point process, the dynamic contagion process, by generalising the Hawkes process ...
We consider risk processes with non-stationary Hawkes claims arrivals, and we study the asymptotic b...
We introduce a new point process, the dynamic contagion process, by generalising the Hawkes process ...
We introduce a bivariate Markov chain counting process with contagion for modelling the clustering a...
diagramas, ilustraciones, tablasEste trabajo estudia el Modelo de Contagio Dinámico y sus propiedade...
We introduce threshold growth in the classical threshold contagion model, or equivalently a network ...
In this paper we generalise the risk models beyond the ordinary framework of affine processes or Mar...
We introduce a bivariate Markov chain counting process with contagion for modelling the clustering a...
This paper examines an integro-differential equation of the survival probability d(u) for a class of...
In this paper we consider a risk model with two kinds of claims, whose claims number processes are P...
In this paper we consider a risk model with two kinds of claims, whose claims number processes are P...
This paper examines an integro-differential equation of the survival probability 4 u) for a class o...
The explanation of risk contagion among economic players—not only in financial crises—and how they s...
We consider a risk process Rt where the claim arrival process is a superposi-tion of a homogeneous P...
In this paper, we consider a risk process with the arrival of claims modelled by a dynamic contagion...
We introduce a new point process, the dynamic contagion process, by generalising the Hawkes process ...
We consider risk processes with non-stationary Hawkes claims arrivals, and we study the asymptotic b...
We introduce a new point process, the dynamic contagion process, by generalising the Hawkes process ...
We introduce a bivariate Markov chain counting process with contagion for modelling the clustering a...
diagramas, ilustraciones, tablasEste trabajo estudia el Modelo de Contagio Dinámico y sus propiedade...
We introduce threshold growth in the classical threshold contagion model, or equivalently a network ...
In this paper we generalise the risk models beyond the ordinary framework of affine processes or Mar...
We introduce a bivariate Markov chain counting process with contagion for modelling the clustering a...
This paper examines an integro-differential equation of the survival probability d(u) for a class of...
In this paper we consider a risk model with two kinds of claims, whose claims number processes are P...
In this paper we consider a risk model with two kinds of claims, whose claims number processes are P...
This paper examines an integro-differential equation of the survival probability 4 u) for a class o...
The explanation of risk contagion among economic players—not only in financial crises—and how they s...
We consider a risk process Rt where the claim arrival process is a superposi-tion of a homogeneous P...