英文标题：
《Gaussian Approximation of a Risk Model with Non-Stationary Hawkes
Arrivals of Claims》
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作者：
Zailei Cheng and Youngsoo Seol
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最新提交年份：
2019
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英文摘要：
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.
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中文摘要：
我们考虑一个经典的风险过程，索赔的到达遵循一个非平稳的霍克斯过程。我们研究了当保费率和索赔到达过程的基线强度较大，索赔规模较小时的渐近状态。本文的主要目的是通过验证泛函中心极限定理来建立扩散近似，并计算有限时间范围内的破产概率。还将给出数值结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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