On total claim amount for marked Poisson cluster models

Bojan Basrak (1) , Olivier Wintenberger (2) , Petra Zugec (1)

1 University of Zagreb
2 LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation

We study the asymptotic distribution of the total claim amount for marked Poisson cluster models. The marks determine the size and other characteristics of the individual claims and potentially influence arrival rate of the future claims. We find sufficient conditions under which the total claim amount satisfies the central limit theorem or alternatively tends in distribution to an infinite variance stable random variable. We discuss several Poisson cluster models in detail, paying special attention to the marked Hawkes processes as our key example.

Mots clés: Poisson cluster processes; limit theorems; Hawkes process; total claim amount; central limit theorem; stable random variables

Domaines: Probabilités [math.PR]; Statistiques [math.ST]

Bojan Basrak, Olivier Wintenberger, Petra Zugec. On total claim amount for marked Poisson cluster models. 2018. ⟨hal-01788339v1⟩