Hidden regular variation for point processes and the single/multiple large point heuristic

DOI10.1214/21-AAP1675zbMATH Open1492.60145arXiv2102.06620OpenAlexW2954531695MaRDI QIDQ2117439FDOQ2117439

Clément Dombry, Charles Tillier, Olivier Wintenberger

Publication date: 21 March 2022

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: We consider regular variation for marked point processes with independent heavy-tailed marks and prove a single large point heuristic: the limit measure is concentrated on the cone of point measures with one single point. We then investigate successive hidden regular variation removing the cone of point measures with at most $k$ points, $kgeq1$, and prove a multiple large point phenomenon: the limit measure is concentrated on the cone of point measures with $k+1$ points. We show how these results imply hidden regular variation in Skorokhod space of the associated risk process. Finally, we provide an application to risk theory in a reinsurance model where the $k$ largest claims are covered and we study the asymptotic behavior of the residual risk.

Full work available at URL: https://arxiv.org/abs/2102.06620

zbMATH Keywords

point processhidden regular variationregular variationrisk theory

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70)

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Cited In (1)

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