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On total claim amount for marked Poisson cluster models

Abstract : 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.
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https://hal.archives-ouvertes.fr/hal-01788339
Contributor : Olivier Wintenberger Connect in order to contact the contributor
Submitted on : Thursday, March 21, 2019 - 9:16:57 AM
Last modification on : Saturday, December 4, 2021 - 4:00:08 AM
Long-term archiving on: : Saturday, June 22, 2019 - 12:42:55 PM

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  • HAL Id : hal-01788339, version 2
  • ARXIV : 1903.09387

Citation

Bojan Basrak, Olivier Wintenberger, Petra Zugec. On total claim amount for marked Poisson cluster models. Journal of Applied Probability, Cambridge University press, In press. ⟨hal-01788339v2⟩

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