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Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims

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Cited by:

  1. Swishchuk, Anatoliy & Zagst, Rudi & Zeller, Gabriela, 2021. "Hawkes processes in insurance: Risk model, application to empirical data and optimal investment," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 107-124.
  2. Seol, Youngsoo, 2017. "Limit theorems for the compensator of Hawkes processes," Statistics & Probability Letters, Elsevier, vol. 127(C), pages 165-172.
  3. Yang Shen & Bin Zou, 2021. "Mean-Variance Portfolio Selection in Contagious Markets," Papers 2110.09417, arXiv.org.
  4. Lingjiong Zhu, 2015. "A State-Dependent Dual Risk Model," Papers 1510.03920, arXiv.org, revised Feb 2023.
  5. Zailei Cheng & Youngsoo Seol, 2018. "Gaussian Approximation of a Risk Model with Non-Stationary Hawkes Arrivals of Claims," Papers 1801.07595, arXiv.org, revised Aug 2019.
  6. Seol, Youngsoo, 2019. "Limit theorems for an inverse Markovian Hawkes process," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
  7. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2019. "A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance," LSE Research Online Documents on Economics 102043, London School of Economics and Political Science, LSE Library.
  8. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2015. "A risk model with renewal shot-noise Cox process," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 55-65.
  9. Horst, Ulrich & Xu, Wei, 2021. "Functional limit theorems for marked Hawkes point measures," Stochastic Processes and their Applications, Elsevier, vol. 134(C), pages 94-131.
  10. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2015. "A risk model with renewal shot-noise Cox process," LSE Research Online Documents on Economics 64051, London School of Economics and Political Science, LSE Library.
  11. Palmowski, Zbigniew & Pojer, Simon & Thonhauser, Stefan, 2025. "Exact asymptotics of ruin probabilities with linear Hawkes arrivals," Stochastic Processes and their Applications, Elsevier, vol. 182(C).
  12. Dassios, Angelos & Zhao, Hongbiao, 2017. "A generalised contagion process with an application to credit risk," LSE Research Online Documents on Economics 68558, London School of Economics and Political Science, LSE Library.
  13. Ulrich Horst & Wei Xu, 2019. "Functional Limit Theorems for Marked Hawkes Point Measures ," Working Papers hal-02443841, HAL.
  14. Nian Yao, 2018. "Optimal leverage ratio estimate of various models for leveraged ETFs to exceed a target: Probability estimates of large deviations," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-37, June.
  15. Sarma, Utpal Jyoti Deba & Selvamuthu, Dharmaraja, 2024. "Study of discrete-time Hawkes process and its compensator," Statistics & Probability Letters, Elsevier, vol. 214(C).
  16. Behzad Mehrdad & Lingjiong Zhu, 2014. "On the Hawkes Process with Different Exciting Functions," Papers 1403.0994, arXiv.org, revised Sep 2017.
  17. Fu, Ke-Ang & Liu, Yang & Wang, Jiangfeng, 2022. "Precise large deviations in a bidimensional risk model with arbitrary dependence between claim-size vectors and waiting times," Statistics & Probability Letters, Elsevier, vol. 184(C).
  18. Seol, Youngsoo, 2015. "Limit theorems for discrete Hawkes processes," Statistics & Probability Letters, Elsevier, vol. 99(C), pages 223-229.
  19. Hainaut, Donatien, 2016. "A bivariate Hawkes process for interest rate modeling," Economic Modelling, Elsevier, vol. 57(C), pages 180-196.
  20. Jang, Jiwook & Dassios, Angelos & Zhao, Hongbiao, 2018. "Moments of renewal shot-noise processes and their applications," LSE Research Online Documents on Economics 87428, London School of Economics and Political Science, LSE Library.
  21. Youngsoo Seol, 2023. "Large Deviations for Hawkes Processes with Randomized Baseline Intensity," Mathematics, MDPI, vol. 11(8), pages 1-10, April.
  22. Liu, Wenyue & Cadenillas, Abel, 2023. "Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 69-93.
  23. Hyunjoo Yoo & Bara Kim & Jeongsim Kim & Jiwook Jang, 2020. "Transform approach for discounted aggregate claims in a risk model with descendant claims," Annals of Operations Research, Springer, vol. 293(1), pages 175-192, October.
  24. Ulrich Horst & Wei Xu, 2024. "Functional Limit Theorems for Hawkes Processes," Papers 2401.11495, arXiv.org, revised Dec 2024.
  25. Roueff, François & von Sachs, Rainer & Sansonnet, Laure, 2016. "Locally stationary Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 126(6), pages 1710-1743.
  26. Youngsoo Seol, 2022. "Non-Markovian Inverse Hawkes Processes," Mathematics, MDPI, vol. 10(9), pages 1-12, April.
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