On extremes of random clusters and marked renewal cluster processes

DOI10.1017/jpr.2022.52arXiv2203.13507OpenAlexW4311970040MaRDI QIDQ6159617

Unnamed Author, Petra Žugec, Bojan Basrak

Publication date: 8 May 2023

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

Full work available at URL: https://arxiv.org/abs/2203.13507

zbMATH Keywords

extreme value distributionslimit theoremsHawkes processPoisson cluster processesrandom maximarenewal cluster processesmaximal claim size

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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