Petra Zugec EVA Talk Preview
From Anna Munro on May 24th, 2021
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Name: Petra Zugec
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. View the programme here.