This talk has been automatically
captioned. You can remove these by pressing CC on the video toolbar.
Name: Petra Žugec
Talk Title: On maximal claim size for marked Hawkes processes
Abstract: We use the theory of branching and point processes to study asymptotic distribution of the maximal claim size for marked Hawkes processes, in which marks determine the size and other characteristics of the individual claims and influence arrival rate of the future claims. We present sufficient conditions under which the maximal claim size tends in distribution to a max-stable random variable.
This
talk is a contributed talk at EVA 2021.