Hawkes processes in insurance: risk model, application to empirical data and optimal investment
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Publication:2665846
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Cites work
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Cited in
(15)- Diffusion approximation of a risk model with non-stationary Hawkes arrivals of claims
- Hawkes processes framework with a gamma density as excitation function: application to natural disasters for insurance
- An expansion formula for Hawkes processes and application to cyber-insurance derivatives
- Multivariate self-exciting jump processes with applications to financial data
- Optimal reinsurance via BSDEs in a partially observable model with jump clusters
- Fast and asymptotically efficient estimation in the Hawkes processes
- Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times
- A multi-layer stochastic differential investment and reinsurance game with a dynamic contagion claim model
- Hawkes-based optimal investment and reinsurance strategies for loss-averse insurer
- Optimal self-protection via BSDEs for risk models with jump clusters
- Optimal harvest under a Gilpin-Ayala model driven by the Hawkes process
- Data-inspired modeling of accidents in traffic flow networks
- Risk processes with non-stationary Hawkes claims arrivals
- Modeling Multistate Health Transitions with a Most-Recent-Event Hawkes Process
- Optimal investment and per-loss reinsurance strategies under a dynamic contagion claims process
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