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Risk Processes with Non-stationary Hawkes Claims Arrivals

Author

Listed:
  • Gabriele Stabile

    (University of Rome “Sapienza”)

  • Giovanni Luca Torrisi

    (Consiglio Nazionale delle Ricerche (CNR))

Abstract

We consider risk processes with non-stationary Hawkes claims arrivals, and we study the asymptotic behavior of infinite and finite horizon ruin probabilities under light-tailed conditions on the claims. Moreover, we provide asymptotically efficient simulation laws for ruin probabilities and we give numerical illustrations of the theoretical results.

Suggested Citation

  • Gabriele Stabile & Giovanni Luca Torrisi, 2010. "Risk Processes with Non-stationary Hawkes Claims Arrivals," Methodology and Computing in Applied Probability, Springer, vol. 12(3), pages 415-429, September.
    • Handle: RePEc:spr:metcap:v:12:y:2010:i:3:d:10.1007_s11009-008-9110-6
    DOI: 10.1007/s11009-008-9110-6
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