1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.PR2023★ 1 cited
Exact asymptotics of ruin probabilities with linear Hawkes arrivals
Zbigniew Palmowski, Simon Pojer, Stefan Thonhauser
In this paper we determine bounds and exact asymptotics of the ruin probability for risk process with arrivals given by a linear marked Hawkes process. We consider the light-tailed…
math.PR2022
Ruin Probabilities in a Markovian Shot-Noise Environment
Simon Pojer, Stefan Thonhauser
We consider a risk model with a counting process whose intensity is a Markovian shot-noise process, to resolve one of the disadvantages of the Cramér-Lundberg model, namely the con…