On extremes of random clusters and marked renewal cluster processes

DOI10.1017/JPR.2022.52MaRDI QIDQ6159617zbMATH OpenOpenAlexFDO

Authors Bojan Basrak, Petra Žugec

Publication date 8 May 2023

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2203.13507

zbMATH Keywords

Hawkes processlimit theoremsPoisson cluster processesextreme value distributionsrandom maximarenewal cluster processesmaximal claim size

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Abstract: The article describes the limiting distribution of the extremes of observations that arrive in clusters. We start by studying the tail behaviour of an individual cluster and then we apply the developed theory to determine the limiting distribution of $max{X}_j:j=0,ldots,K(t)$, where $K(t)$ is the number of i.i.d. observations $(X_j)$ arriving up to the time $t$ according to a general marked renewal cluster process. The results are illustrated in the context of some commonly used Poisson cluster models such as the marked Hawkes process.

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Cited in

(2)

• Extremal clustering under moderate long range dependence and moderately heavy tails
• On clusters of high extremes of Gaussian stationary processes with \(\epsilon \)-separation

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