英文标题：
《Risk Model Based on General Compound Hawkes Process》
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作者：
Anatoliy Swishchuk
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最新提交年份：
2017
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英文摘要：
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).
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中文摘要：
在本文中，我们介绍了一种新的基于索赔到达一般复合霍克斯过程（GCHP）的风险过程模型。我们称之为基于一般复合霍克斯过程的风险模型（RMGCHP）。证明了大数定律（LLN）和泛函中心极限定理（FCLT）。我们还将LLN和FCLT应用于RMGCHP，研究了这种新风险模型的主要性质、净利润条件、保费原则和破产时间（包括最终破产时间）。作为结果的应用，我们展示了基于复合霍克斯过程（RMCHP）的风险模型的类似结果，并将其应用于基于复合泊松过程（RMCPP）的经典风险模型。
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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：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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