Hawkes processes framework with a Gamma density as excitation function: application to natural disasters for insurance - Archive ouverte HAL Access content directly
Journal Articles Methodology and Computing in Applied Probability Year : 2022

Hawkes processes framework with a Gamma density as excitation function: application to natural disasters for insurance

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Abstract

Hawkes process are temporal self-exciting point processes. They are well established in earthquake modelling or finance and their application is spreading to diverse areas. Most models from the literature have two major drawbacks regarding their potential application to insurance. First, they use an exponentially-decaying form of excitation, which does not allow a delay between the occurrence of an event and its excitation effect on the process and does not fit well on insurance data consequently. Second, theoretical results developed from these models are valid only when time of observation tends to infinity, whereas the time horizon for an insurance use case is of several months or years. In this paper, we define a complete framework of Hawkes processes with a Gamma density excitation function (i.e. estimation, simulation, goodness-of-fit) instead of an exponential-decaying function and we demonstrate some mathematical properties (i.e. expectation, variance) about the transient regime of the process. We illustrate our results with real insurance data about natural disasters in Luxembourg.
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Dates and versions

hal-03040090 , version 1 (04-12-2020)

Identifiers

  • HAL Id : hal-03040090 , version 1

Cite

Laurent Lesage, Madalina Deaconu, Antoine Lejay, Jorge Augusto Meira, Geoffrey Nichil, et al.. Hawkes processes framework with a Gamma density as excitation function: application to natural disasters for insurance. Methodology and Computing in Applied Probability, 2022, pp.29. ⟨hal-03040090⟩
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