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Risk Processes with Non-stationary Hawkes Claims Arrivals

Gabriele Stabile () and Giovanni Luca Torrisi ()
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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
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DOI: 10.1007/s11009-008-9110-6

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