Risk Processes with Non-stationary Hawkes Claims Arrivals

被引：0
|
作者：
Gabriele Stabile
Giovanni Luca Torrisi
机构：
[1] University of Rome “Sapienza”,Dipartimento di Matematica per le Applicazioni Economiche, Finanziarie e Assicurative
[2] Consiglio Nazionale delle Ricerche (CNR),Istituto per le Applicazioni del Calcolo “Mauro Picone” (IAC)
来源：
Methodology and Computing in Applied Probability | 2010年 / 12卷
关键词：
Hawkes processes; Importance sampling; Large deviations; Poisson cluster processes; Ruin probabilities; Primary 60G55; 91B30; Secondary 60K10; 65C05;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
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页码：415 / 429
页数：14
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