Hawkes processes in insurance : risk model, application to empirical data and optimal investment
Anatoliy Swishchuk, Rudi Zagst, Gabriela Zeller
| Year of publication: |
2021
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|---|---|
| Authors: | Sviščuk, Anatolij ; Zagst, Rudi ; Zeller, Gabriela |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 101.2021, 1, p. 107-124
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| Subject: | Diffusion approximation | FCLT | General compound Hawkes process | Hawkes process | Incomplete market | Optimal investment for insurers | Risk model | Risikomodell | Theorie | Theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Unvollkommener Markt | Versicherung | Insurance | Risikomanagement | Risk management | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.12.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012793913