Risk processes with non-stationary Hawkes claims arrivals

DOI10.1007/s11009-008-9110-6zbMath1231.91239MaRDI QIDQ708785

Giovanni Luca Torrisi, Gabriele Stabile

Publication date: 14 October 2010

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-008-9110-6

zbMATH Keywords

importance sampling; large deviations; Hawkes processes; Poisson cluster processes; ruin probabilities

Mathematics Subject Classification ID

65C05: Monte Carlo methods

60K10: Applications of renewal theory (reliability, demand theory, etc.)

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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