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Gaussian Approximation of a Risk Model with Non-Stationary Hawkes Arrivals of Claims

Zailei Cheng and Youngsoo Seol

Papers from arXiv.org

Abstract: We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size is small. The main goal of the article is to establish a diffusion approximation by verifying a functional central limit theorem and to compute the ruin probability in finite-time horizon. Numerical results will also be given.

New Economics Papers: this item is included in nep-rmg
Date: 2018-01, Revised 2019-08
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Published in Methodology and Computing in Applied Probability 2019

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