Exact asymptotics of ruin probabilities with linear Hawkes arrivals
Probability
2023-04-07 v1
Abstract
In this paper we determine bounds and exact asymptotics of the ruin probability for risk process with arrivals given by a linear marked Hawkes process. We consider the light-tailed and heavy-tailed case of the claim sizes. Main technique is based on the principle of one big jump, exponential change of measure, and renewal arguments.
Cite
@article{arxiv.2304.03075,
title = {Exact asymptotics of ruin probabilities with linear Hawkes arrivals},
author = {Zbigniew Palmowski and Simon Pojer and Stefan Thonhauser},
journal= {arXiv preprint arXiv:2304.03075},
year = {2023}
}