Risk processes with non-stationary Hawkes claims arrivals
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Publication:708785
DOI10.1007/s11009-008-9110-6zbMath1231.91239MaRDI QIDQ708785
Gabriele Stabile, Giovanni Luca Torrisi
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
importance sampling; large deviations; Hawkes processes; Poisson cluster processes; ruin probabilities
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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