Diffusion Approximation of a Risk Model
We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size is small. The main goal of the article is to esta...
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/2018_Fall_Cheng_fsu_0071E_14916 |
| Summary: | We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime
when the premium rate and the baseline intensity of the claims arrival process are large, and claim size is small. The main goal of the article
is to establish a diffusion approximation by verifying a functional central limit theorem and to compute the ruin probability in finite-time
horizon. Numerical results will also be given. === A Dissertation submitted to the Department of Mathematics in partial fulfillment of the requirements for the
degree of Doctor of Philosophy. === Fall Semester 2018. === November 12, 2018. === diffusion approximation, Hawkes process, risk model === Includes bibliographical references. === Lingjiong Zhu, Professor Directing Dissertation; Xufeng Niu, University Representative; Arash Fahim,
Committee Member; Sanghyun Lee, Committee Member. |
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