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Pregled bibliografske jedinice broj: 992537

On total claim amount for marked Poisson cluster models

Basrak, Bojan; Wintenberger, Olivier; Žugec, Petra
On total claim amount for marked Poisson cluster models // Advances in applied probability, 51 (2019), 2; 541-569 doi:10.1017/apr.2019.15 (međunarodna recenzija, članak, znanstveni)

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Naslov
On total claim amount for marked Poisson cluster models

Autori
Basrak, Bojan ; Wintenberger, Olivier ; Žugec, Petra

Izvornik
Advances in applied probability (0001-8678) 51 (2019), 2; 541-569

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Poisson cluster processes ; limit theorems ; Hawkes process ; total claim amount ; central limit theorem ; stable random variables

Sažetak
We 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 arrival rate of the 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 processes as our key example.

Izvorni jezik
Engleski

Znanstvena područja
Matematika



POVEZANOST RADA

Projekti:
HRZZ-IP-2013-11-3526 - Stohastičke metode u analitičkim i primijenjenim problemima (SMAAP) (Vondraček, Zoran, HRZZ - 2013-11) ( CroRIS)
KK.01.1.1.01.0009 - Napredne metode i tehnologije u znanosti o podatcima i kooperativnim sustavima (EK )
ANR-14-CE20-0006

Ustanove:
Fakultet organizacije i informatike, Varaždin,
Prirodoslovno-matematički fakultet, Matematički odjel, Zagreb,
Prirodoslovno-matematički fakultet, Zagreb

Profili:

Avatar Url Bojan Basrak (autor)

Avatar Url Petra Žugec (autor)

Poveznice na cjeloviti tekst rada:

doi arxiv.org www.cambridge.org www.cambridge.org hal.archives-ouvertes.fr

Citiraj ovu publikaciju:

Basrak, Bojan; Wintenberger, Olivier; Žugec, Petra
On total claim amount for marked Poisson cluster models // Advances in applied probability, 51 (2019), 2; 541-569 doi:10.1017/apr.2019.15 (međunarodna recenzija, članak, znanstveni)
Basrak, B., Wintenberger, O. & Žugec, P. (2019) On total claim amount for marked Poisson cluster models. Advances in applied probability, 51 (2), 541-569 doi:10.1017/apr.2019.15.
@article{article, author = {Basrak, Bojan and Wintenberger, Olivier and \v{Z}ugec, Petra}, year = {2019}, pages = {541-569}, DOI = {10.1017/apr.2019.15}, keywords = {Poisson cluster processes, limit theorems, Hawkes process, total claim amount, central limit theorem, stable random variables}, journal = {Advances in applied probability}, doi = {10.1017/apr.2019.15}, volume = {51}, number = {2}, issn = {0001-8678}, title = {On total claim amount for marked Poisson cluster models}, keyword = {Poisson cluster processes, limit theorems, Hawkes process, total claim amount, central limit theorem, stable random variables} }
@article{article, author = {Basrak, Bojan and Wintenberger, Olivier and \v{Z}ugec, Petra}, year = {2019}, pages = {541-569}, DOI = {10.1017/apr.2019.15}, keywords = {Poisson cluster processes, limit theorems, Hawkes process, total claim amount, central limit theorem, stable random variables}, journal = {Advances in applied probability}, doi = {10.1017/apr.2019.15}, volume = {51}, number = {2}, issn = {0001-8678}, title = {On total claim amount for marked Poisson cluster models}, keyword = {Poisson cluster processes, limit theorems, Hawkes process, total claim amount, central limit theorem, stable random variables} }

Časopis indeksira:


  • Current Contents Connect (CCC)
  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus

Uključenost u ostale bibliografske baze podataka::


  • MathSciNet
  • Zentrallblatt für Mathematik/Mathematical Abstracts

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