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
Note: View the original document on HAL open archive server: https://inria.hal.science/hal-03040090v1
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References listed on IDEAS
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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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More about this item
Keywords
Point processes; Hawkes processes; insurance; EM algorithm; natural disasters;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2022-09-12 (Risk Management)
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