Hidden regular variation for point processes and the single/multiple large point heuristic

DOI10.1214/21-AAP1675zbMath1492.60145arXiv2102.06620OpenAlexW2954531695MaRDI QIDQ2117439

Clément Dombry, Charles Tillier, Olivier Wintenberger

Publication date: 21 March 2022

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.06620

zbMATH Keywords

regular variationpoint processhidden regular variationrisk theory

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (1)

Tail measures and regular variation

Cites Work

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