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. © 2008 Springer Science+Business Media, LLC.
Risk Processes with Non-stationary Hawkes Claims Arrivals / Stabile, Gabriele; Giovanni Luca, Torrisi. - In: METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY. - ISSN 1387-5841. - STAMPA. - 12:3(2010), pp. 415-429. [10.1007/s11009-008-9110-6]
Risk Processes with Non-stationary Hawkes Claims Arrivals
STABILE, Gabriele;
2010
Abstract
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. © 2008 Springer Science+Business Media, LLC.File allegati a questo prodotto
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