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- W4301454051 abstract "In this paper, we introduce a new model for the risk process based on general compound Hawkes process (GCHP) for the arrival of claims. We call it risk model based on general compound Hawkes process (RMGCHP). The Law of Large Numbers (LLN) and the Functional Central Limit Theorem (FCLT) are proved. We also study the main properties of this new risk model, net profit condition, premium principle and ruin time (including ultimate ruin time) applying the LLN and FCLT for the RMGCHP. We show, as applications of our results, similar results for risk model based on compound Hawkes process (RMCHP) and apply them to the classical risk model based on compound Poisson process (RMCPP)." @default.
- W4301454051 created "2022-10-05" @default.
- W4301454051 creator A5087178350 @default.
- W4301454051 date "2017-06-27" @default.
- W4301454051 modified "2023-09-27" @default.
- W4301454051 title "Risk Model Based on General Compound Hawkes Process" @default.
- W4301454051 doi "https://doi.org/10.48550/arxiv.1706.09038" @default.
- W4301454051 hasPublicationYear "2017" @default.
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