Risk processes with non-stationary Hawkes claims arrivals

Methodology and Computing in Applied Probability

Volumn 12, Issue 3, 2010, Pages 415-429

  Stabile, Gabriele ^a   Torrisi, Giovanni Luca ^b  

^a SAPIENZA UNIVERSITY OF ROME   (Italy)

^b CNR   (Italy)

Author keywords

Hawkes processes; Importance sampling; Large deviations; Poisson cluster processes; Ruin probabilities

Indexed keywords

EID: 77954427714     PISSN: 13875841     EISSN: 15737713     Source Type: Journal    
DOI: 10.1007/s11009-008-9110-6     Document Type: Article

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