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

被引：0
|
作者：
Zailei Cheng
Youngsoo Seol
机构：
[1] Florida State University,Department of Mathematics
[2] Dong-A University,Department of Mathematics
来源：
Methodology and Computing in Applied Probability | 2020年 / 22卷
关键词：
Diffusion approximation; Risk process; Finite-horizon ruin probability; Hawkes processes; Primary 91B30; Secondary 60F17, 60G55;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
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页码：555 / 571
页数：16
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