Hawkes processes in insurance : risk model, application to empirical data and optimal investment
Year of publication: |
2021
|
---|---|
Authors: | Sviščuk, Anatolij ; Zagst, Rudi ; Zeller, Gabriela |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 101.2021, 1, p. 107-124
|
Subject: | Diffusion approximation | FCLT | General compound Hawkes process | Hawkes process | Incomplete market | Optimal investment for insurers | Risk model | Risikomodell | Theorie | Theory | Stochastischer Prozess | Stochastic process |
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