Multivariate Self-Exciting Processes with Dependencies

Caroline Hillairet, Thomas Peyrat and Anthony R\'eveillac
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Caroline Hillairet: CREST
Thomas Peyrat: CREST
Anthony R\'eveillac: INSA Toulouse, IMT, UT

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Abstract: This paper introduces the class of multidimensional self-exciting processes with dependencies (MSPD), which is a unifying writing for a large class of processes: counting, loss, intensity, and also shifted processes. The framework takes into account dynamic dependencies between the frequency and the severity components of the risk, and therefore induces theoretical challenges in the computations of risk valuations. We present a general method for calculating different quantities related to these MSPDs, which combines the Poisson imbedding, the pseudo-chaotic expansion and Malliavin calculus. The methodology is illustrated for the computation of explicit general correlation formula.

Date: 2025-03, Revised 2025-03
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