Ruin by dynamic contagion claims
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- Angelos Dassios & Hongbiao Zhao, 2014. "A Markov Chain Model for Contagion," Risks, MDPI, Open Access Journal, vol. 2(4), pages 1-22, November.
- Angelos Dassios & Xin Dong, 2014. "Stationarity of Bivariate Dynamic Contagion Processes," Papers 1405.5842, arXiv.org.
- Lingjiong Zhu, 2015. "A State-Dependent Dual Risk Model," Papers 1510.03920, arXiv.org.
- Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2015. "A risk model with renewal shot-noise Cox process," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 55-65.
- Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2015. "A risk model with renewal shot-noise Cox process," LSE Research Online Documents on Economics 64051, London School of Economics and Political Science, LSE Library.
- repec:eee:dyncon:v:79:y:2017:i:c:p:154-183 is not listed on IDEAS
- Dassios, Angelos & Zhao, Hongbiao, 2017. "A generalised contagion process with an application to credit risk," LSE Research Online Documents on Economics 68558, London School of Economics and Political Science, LSE Library.
- Kyungsub Lee & Byoung Ki Seo, 2019. "Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data," Papers 1908.05089, arXiv.org.
- repec:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500030 is not listed on IDEAS
- Dassios, Angelos & Zhao, Hongbiao, 2017. "Efficient simulation of clustering jumps with CIR intensity," LSE Research Online Documents on Economics 74205, London School of Economics and Political Science, LSE Library.
- Hainaut, Donatien, 2016. "A bivariate Hawkes process for interest rate modeling," Economic Modelling, Elsevier, vol. 57(C), pages 180-196.
- Jang, Jiwook & Dassios, Angelos, 2013. "A bivariate shot noise self-exciting process for insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 524-532.
- repec:eee:insuma:v:74:y:2017:i:c:p:63-77 is not listed on IDEAS
More about this item
KeywordsDynamic contagion process; Ruin probability; Generalised Lundberg’s fundamental equation; Cramér–Lundberg approximation; Change of measure; Martingale method;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
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