IDEAS home Printed from https://ideas.repec.org/r/eee/insuma/v51y2012i1p93-106.html

Ruin by dynamic contagion claims

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Swishchuk, Anatoliy & Zagst, Rudi & Zeller, Gabriela, 2021. "Hawkes processes in insurance: Risk model, application to empirical data and optimal investment," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 107-124.
  2. Angelos Dassios & Jiwook Jang & Hongbiao Zhao, 2019. "A Generalised CIR Process with Externally-Exciting and Self-Exciting Jumps and Its Applications in Insurance and Finance," Risks, MDPI, vol. 7(4), pages 1-18, October.
  3. Lee, Kyungsub & Seo, Byoung Ki, 2017. "Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 154-183.
  4. 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.
  5. Angelos Dassios & Hongbiao Zhao, 2014. "A Markov Chain Model for Contagion," Risks, MDPI, vol. 2(4), pages 1-22, November.
  6. Cao, Jingyi & Landriault, David & Li, Bin, 2020. "Optimal reinsurance-investment strategy for a dynamic contagion claim model," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 206-215.
  7. Hillairet, Caroline & Réveillac, Anthony & Rosenbaum, Mathieu, 2023. "An expansion formula for Hawkes processes and application to cyber-insurance derivatives," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 89-119.
  8. Kyungsub Lee, 2022. "Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures," Papers 2207.05939, arXiv.org, revised Sep 2024.
  9. Angelos Dassios & Xin Dong, 2014. "Stationarity of Bivariate Dynamic Contagion Processes," Papers 1405.5842, arXiv.org.
  10. Zhang, Liming & Wu, Hongping & Zhao, Qian & Wang, Ning, 2024. "Equilibrium reinsurance strategies for catastrophe and secondary claims under α-maxmin mean–variance criterion," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  11. Angelos Dassios & Hongbiao Zhao, 2017. "A Generalized Contagion Process With An Application To Credit Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-33, February.
  12. Feng, Yang & Jang, Jiwook & Li, Shuanming & Liu, Guo, 2025. "Robust risk sharing and reinsurance contract design for contagious catastrophe and secondary claims under principal–agent framework," International Review of Financial Analysis, Elsevier, vol. 108(PB).
  13. 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.
  14. Hainaut, Donatien, 2016. "A bivariate Hawkes process for interest rate modeling," Economic Modelling, Elsevier, vol. 57(C), pages 180-196.
  15. Jang, Jiwook & Dassios, Angelos & Zhao, Hongbiao, 2018. "Moments of renewal shot-noise processes and their applications," LSE Research Online Documents on Economics 87428, London School of Economics and Political Science, LSE Library.
  16. Yang Shen & Bin Zou, 2021. "Mean-Variance Portfolio Selection in Contagious Markets," Papers 2110.09417, arXiv.org.
  17. Lingjiong Zhu, 2015. "A State-Dependent Dual Risk Model," Papers 1510.03920, arXiv.org, revised Feb 2023.
  18. Angelos Dassios & Hongbiao Zhao, 2017. "Efficient Simulation of Clustering Jumps with CIR Intensity," Operations Research, INFORMS, vol. 65(6), pages 1494-1515, December.
  19. 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.
  20. Jiwook Jang & Rosy Oh, 2020. "A Bivariate Compound Dynamic Contagion Process for Cyber Insurance," Papers 2007.04758, arXiv.org.
  21. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2019. "A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance," LSE Research Online Documents on Economics 102043, London School of Economics and Political Science, LSE Library.
  22. Liu, Guo & Jin, Zhuo & Li, Shuanming, 2024. "Optimal dividend policy with self-exciting claims in the Gamma–Omega model," Finance Research Letters, Elsevier, vol. 69(PA).
  23. 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.
  24. Hainaut, Donatien, 2017. "Contagion modeling between the financial and insurance markets with time changed processes," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 63-77.
  25. Hansjoerg Albrecher & Pablo Azcue & Nora Muler, 2023. "Optimal dividend strategies for a catastrophe insurer," Papers 2311.05781, arXiv.org.
  26. 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.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.