Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times

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Cites Work

Moderate deviations for a risk model based on the customer-arrival process
Risk processes with non-stationary Hawkes claims arrivals
Necessary and sufficient conditions for moderate deviations of dependent random variables with heavy tails
Subexponentiality of the product of independent random variables
Moderate deviations for marked Hawkes processes
Large deviations and applications for Markovian Hawkes processes with a large initial intensity
Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
Several properties of a nonstandard renewal counting process and their applications
Diffusion approximation of a risk model with non-stationary Hawkes arrivals of claims
Large deviations for sums of claims in a general renewal risk model with the regression dependent structure
Precise large deviations of aggregate claims in a size-dependent renewal risk model
On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times
Hawkes processes in insurance: risk model, application to empirical data and optimal investment
Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
Extremes on the discounted aggregate claims in a time dependent risk model
Dependent Risk Models with Bivariate Phase-Type Distributions
Moderate deviations for sums of dependent claims in a size-dependent renewal risk model
Spectra of some self-exciting and mutually exciting point processes

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