Seminar by Professor Anatoliy Swishchuk, Department of Mathematics and Statistics, University of Calgary

This talk is devoted to the study of new stochastic models for risk processes based on Hawkes and marked Hawkes processes and their applications in insurance. We first introduce those models and outline some properties. Then we will present two applications of those models in insurance: solution of Merton optimization problem and finding ruin probabilities. Numerical examples will be presented as well.

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