On extremes of random clusters and marked renewal cluster processes

DOI10.1017/JPR.2022.52arXiv2203.13507OpenAlexW4311970040MaRDI QIDQ6159617FDOQ6159617

Authors: Bojan Basrak, Petra Žugec 

Publication date: 8 May 2023

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

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.

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

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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)

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Cited In (2)

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

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