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math.PR2022★ 11 cited
Infinite-server System with Hawkes Arrivals and Hawkes Services
Dharmaraja Selvamuthu, Paola Tardelli
This paper is devoted to the study of the number of customers in infinite-server systems driven by Hawkes processes. In these systems, the self-exciting arrival process is assumed…
q-fin.RM2022
A contagion process with self-exciting jumps in credit risk applications
Puneet Pasricha, Dharmaraja Selvamuthu, Selvaraju Natarajan
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlatio…