Pregled bibliografske jedinice broj: 1215816
Extremes of claim sizes for marked Poisson cluster processes
Extremes of claim sizes for marked Poisson cluster processes // 11th international conference on Extreme Value Analysis
Zagreb, Hrvatska, 2019. (predavanje, međunarodna recenzija, neobjavljeni rad, znanstveni)
CROSBI ID: 1215816 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Extremes of claim sizes for marked Poisson cluster
processes
Autori
Basrak, Bojan ; Žugec, Petra
Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni
Skup
11th international conference on Extreme Value Analysis
Mjesto i datum
Zagreb, Hrvatska, 01.07.2019. - 05.07.2019
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
point processes ; maximal claim size ; Poisson cluster models ; Hawkes processes ; convergence in distribution
Sažetak
We use the theory of point processes to study asymptotic distribution of the maximal claim size for marked Poisson cluster models, in which marks determine the size and other characteristics of the individual claims and potentially influence arrival rate of the future claims. We present sufficient conditions under which the maximal claim size tends in distribution to a max-stable random variable. We apply these results on three Poisson cluster models with the marked Hawkes processes as our key example.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Ustanove:
Fakultet organizacije i informatike, Varaždin,
Prirodoslovno-matematički fakultet, Matematički odjel, Zagreb,
Prirodoslovno-matematički fakultet, Zagreb
