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Risk processes with non-stationary Hawkes claims arrivals. (English) Zbl 1231.91239
Summary: 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.

91B30 Risk theory, insurance (MSC2010)
60G55 Point processes (e.g., Poisson, Cox, Hawkes processes)
65C05 Monte Carlo methods
60K10 Applications of renewal theory (reliability, demand theory, etc.)
Full Text: DOI
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