Risk Processes with Non-stationary Hawkes Claims Arrivals
By Gabriele Stabile, Giovanni Luca Torrisi. 2010
76 citations recorded by the source corpus.
Subfields: Applied Mathematics, Management Science and Operations Research, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/b482b1b77292ef60383b5a73e6906664f7cf6623
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In Applied Mathematics
In Management Science and Operations Research
In Mathematical Physics
Citations in the corpus
- Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims (2013, methodology): “If Ci have light tails, then Stabile and Torrisi (2010) obtained the asymptotics for the infinite-horizon ruin probability ψ(u) and the finite-horizon ruin probability φ(u, uz) for any z > 0.”
- Large deviations for Markovian nonlinear Hawkes processes (2011, background): “assical Hawkes processes. The large deviations result for (Nt/t ∈ ·) is helpful to study the ruin probabilities of a risk process when the claims arrivals follow a Hawkes process. Stabile and Torrisi [21] considered risk processes with nonstationary Hawkes claims arrivals and studied the asymptotic ”