Author:
Basrak Bojan,Wintenberger Olivier,Žugec Petra
Abstract
AbstractWe 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 the arrival rate of 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 process as our key example.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Cited by
3 articles.
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