Item request has been placed! ×
Item request cannot be made. ×
loading  Processing Request

Multivariate Self-Exciting Processes with Dependencies

Item request has been placed! ×
Item request cannot be made. ×
loading   Processing Request
Read More Add to Saved list
  • Additional Information
    • Contributors:
      Centre de Recherche en Économie et Statistique (CREST); Ecole Nationale de la Statistique et de l'Analyse de l'Information Bruz (ENSAI)-École polytechnique (X); Institut Polytechnique de Paris (IP Paris)-Institut Polytechnique de Paris (IP Paris)-École Nationale de la Statistique et de l'Administration Économique (ENSAE Paris)-Centre National de la Recherche Scientifique (CNRS); Institut National des Sciences Appliquées - Toulouse (INSA Toulouse); Institut National des Sciences Appliquées (INSA)-Université de Toulouse (UT); Institut de Mathématiques de Toulouse UMR5219 (IMT); Université Toulouse Capitole (UT Capitole); Université de Toulouse (UT)-Université de Toulouse (UT)-Institut National des Sciences Appliquées - Toulouse (INSA Toulouse); Institut National des Sciences Appliquées (INSA)-Université de Toulouse (UT)-Institut National des Sciences Appliquées (INSA)-Université de Toulouse (UT)-Université Toulouse - Jean Jaurès (UT2J); Université de Toulouse (UT)-Université Toulouse III - Paul Sabatier (UT3); Université de Toulouse (UT)-Centre National de la Recherche Scientifique (CNRS); Université de Toulouse (UT)
    • Publication Information:
      CCSD
    • Publication Date:
      2025
    • Collection:
      GENES (Groupe des Écoles Nationales d'Économie et Statistique): HAL
    • Abstract:
      This paper introduces the class of multidimensional self-exciting processes with dependencies (MSPD), which is a unifying writing for a large class of processes: counting, loss, intensity, and also shifted processes. The framework takes into account dynamic dependencies between the frequency and the severity components of the risk, and therefore induces theoretical challenges in the computations of risk valuations. We present a general method for calculating different quantities related to these MSPDs, which combines the Poisson imbedding, the pseudo-chaotic expansion and Malliavin calculus. The methodology is illustrated for the computation of explicit general correlation formula.
    • Online Access:
      https://hal.science/hal-04997515
      https://hal.science/hal-04997515v1/document
      https://hal.science/hal-04997515v1/file/MSPD.pdf
    • Rights:
      info:eu-repo/semantics/OpenAccess
    • Accession Number:
      edsbas.2361E2