EconPapers    
Economics at your fingertips  
 

Risk Processes with Non-stationary Hawkes Claims Arrivals

Gabriele Stabile () and Giovanni Luca Torrisi ()
Additional contact information
Gabriele Stabile: University of Rome “Sapienza”
Giovanni Luca Torrisi: Consiglio Nazionale delle Ricerche (CNR)

Methodology and Computing in Applied Probability, 2010, vol. 12, issue 3, 415-429

Abstract: Abstract We consider risk processes with non-stationary Hawkes claims arrivals, and we study the asymptotic behavior of infinite and finite horizon ruin probabilities under light-tailed conditions on the claims. Moreover, we provide asymptotically efficient simulation laws for ruin probabilities and we give numerical illustrations of the theoretical results.

Keywords: Hawkes processes; Importance sampling; Large deviations; Poisson cluster processes; Ruin probabilities; Primary 60G55, 91B30; Secondary 60K10, 65C05 (search for similar items in EconPapers)
Date: 2010
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s11009-008-9110-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:metcap:v:12:y:2010:i:3:d:10.1007_s11009-008-9110-6

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1007/s11009-008-9110-6

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2022-05-12
Handle: RePEc:spr:metcap:v:12:y:2010:i:3:d:10.1007_s11009-008-9110-6