Hawkes Processes Framework With a Gamma Density As Excitation Function: Application to Natural Disasters for Insurance
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DOI: 10.1007/s11009-022-09938-1
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References listed on IDEAS
- Peter Halpin & Paul Boeck, 2013. "Modelling Dyadic Interaction with Hawkes Processes," Psychometrika, Springer;The Psychometric Society, vol. 78(4), pages 793-814, October.
- Xuefeng Gao & Lingjiong Zhu, 2018. "Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues," Queueing Systems: Theory and Applications, Springer, vol. 90(1), pages 161-206, October.
- Zailei Cheng & Youngsoo Seol, 2020. "Diffusion Approximation of a Risk Model with Non-Stationary Hawkes Arrivals of Claims," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 555-571, June.
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Cited by:
- Mercuri, Lorenzo & Perchiazzo, Andrea & Rroji, Edit, 2024. "A Hawkes model with CARMA(p,q) intensity," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 1-26.
- Kyungsub Lee, 2024. "Discrete Hawkes process with flexible residual distribution and filtered historical simulation," Papers 2401.13890, arXiv.org.
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Keywords
Point processes; Hawkes processes; Insurance; EM algorithm; Natural disasters;All these keywords.
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