Related papers: On total claim amount for marked Poisson cluster m…

The distribution-free chain ladder of Mack justified the use of the chain ladder predictor and enabled Mack to derive an estimator of conditional mean squared error of prediction for the chain ladder predictor. Classical insurance loss…

The asymptotic distribution of the score test of the null hypothesis that marks do not impact the intensity of a Hawkes marked self-exciting point process is shown to be chi-squared. For local asymptotic power, the distribution against…

We examine a distributional fixed-point equation related to a multi-type branching process that is key in the cluster sizes analysis of multivariate heavy-tailed Hawkes processes. Specifically, we explore the tail behavior of its solution…

We consider a generalized version in continuous time of the parking problem of Knuth. Files arrive following a Poisson point process and are stored on a hardware identified with the real line. We specify the distribution of the space of…

Clusters traverse a gas and collide with gas particles. The gas particles are adsorbed and the clusters become hosts. If the clusters are size selected, the number of guests will be Poisson distributed. We review this by showcasing four…

Using the results of precise large deviation and renewal theory for widely dependent random variables, this paper obtains the asymptotic estimation of the random-time ruin probability and the uniform asymptotic estimation of finite-time…

A theoretical approach for characterising the influence of asymmetry of noise distribution on the escape rate of a multi-stable system is presented. This was carried out via the estimation of an action, which is defined as an exponential…

We investigate the extremal process of four-dimensional membrane models as the size of the lattice $N$ tends to infinity. We prove the cluster-like geometry of the extreme points and the existence as well as the uniqueness of the extremal…

The tacnode process is a universal determinantal point process arising from non-intersecting particle systems and tiling problems. It is the aim of this work to explore the integrable structure and large gap asymptotics for the gap…

We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion…

We establish the Strong Poisson Hypothesis for symmetric closed networks. In particular, the asymptotic independence of the nodes -- as the size of the system tends to infinity -- is proved.

In this paper, we study compound bi-free Poisson distributions for {\sl two-faced families of random variables}. We prove a Poisson limit theorem for compound bi-free Poisson distributions. Furthermore, a bi-free infinitely divisible…

Let (X_n,Y_n), n\ge 1 be bivariate random claim sizes with common distribution function F and let N(t), t \ge 0 be a stochastic process which counts the number of claims that occur in the time interval [0,t], t\ge 0. In this paper we derive…

We propose a general modeling framework for marked Poisson processes observed over time or space. The modeling approach exploits the connection of the nonhomogeneous Poisson process intensity with a density function. Nonparametric Dirichlet…

When modelling metapopulation dynamics, the influence of a single patch on the metapopulation depends on the number of individuals in the patch. Since there is usually no obvious natural upper limit on the number of individuals in a patch,…

We describe an approach that allows us to deduce the limiting return times distribution for arbitrary sets to be compound Poisson distributed. We establish a relation between the limiting return times distribution and the probability of the…

We consider spatially homogeneous marked point patterns in an unboundedly expanding convex sampling window. Our main objective is to identify the distribution of the typical mark by constructing an asymptotic $\chi^2$-goodness-of-fit test.…

We present exact and asymptotic results for clusters in the one-dimensional totally asymmetric exclusion process (TASEP) with two different dynamics. The expected length of the largest cluster is shown to diverge logarithmically with…

In this paper, we employ Markov process theory to prove asymptotic results for a class of stochastic processes which arise as solutions of a stochastic evolution inclusion and are given by the representation formula \begin{align*}…

Special case of a Gibbsian facet process on a fixed window with a discrete orientation distribution and with increasing intensity of the underlying Poisson process is studied. All asymptotic moments for interaction U-statistics are…