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On Extremes of Random Clusters and Marked Renewal Cluster Processes

The article describes the limiting distribution of the extremes of observations that arrive in clusters. We start by studying the tail behaviour of an individual cluster and then we apply the developed theory to determine the limiting distribution of $\max\{; ; ; ; ; ; ; ; ; ; X_j: j=1, \ldots, K(t)\}; ; ; ; ; ; ; ; ; ; $, where $K(t)$ is the number of i.i.d. observations $(X_j)$ arriving up to the time $t$ according to a general marked renewal cluster process. The results are illustrated in the context of some commonly used Poisson cluster models such as the marked Hawkes process.

Renewal cluster processes ; Poisson cluster processes ; Hawkes process ; maximal claim size ; extreme value distributions ; random maxima ; limit theorems

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