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UID:20250702T090608EDT-2708x5WmP5@132.216.98.100
DTSTAMP:20250702T130608Z
DESCRIPTION:Title: Hawkes Processes and their Applications in Finance and I
 nsurance.\n\nAbstract: Hawkes processes are class of stochastic counting p
 rocesses that have been applied in diverse areas\, from earthquake modelli
 ng to financial analysis. They are point processes whose defining characte
 ristic is that they ‘self-excite’\, meaning that each arrival increases th
 e rate of future arrivals for some period of time. Thus\, the Hawkes proce
 ss is a mathematical model for these ‘self-exciting’ processes\, named aft
 er its creator Alan G. Hawkes (1971)\, and it is a non-Markovian extension
  of the Poisson process. Hawkes models are becoming more and more popular 
 in the domains of high frequency finance and insurance. The talk is devote
 d to the Hawkes processes\, their applications in finance and insurance\, 
 and consists of three parts. The first part introduces the Hawkes processe
 s and describes their properties. The second part is devoted to the modell
 ing of trading activities in high frequency finance\, namely\, modelling o
 f limit order books\, and to the justification of our modelling by present
 ing some numerical examples using real data. The third part focuses on app
 lication of Hawkes processes in insurance: we study a risk model with clai
 m arrivals based on so called general compound Hawkes process\, and show t
 hat it is suitable to model empirical real insurance data set. The investm
 ent problem of an insurer in an incomplete market whose claims arrive acco
 rding to the Hawkes process will addressed as well. (The second part of th
 e talk is based on our joint paper with B. Remillad and R. Elliott\, and t
 he third part-on our joint paper with R. Zagst and G. Zeller (TUM\, Munich
 \, Germany).)\n
DTSTART:20190118T193000Z
DTEND:20190118T203000Z
LOCATION:Room AA-5340\, CA\, Pav. André-Aisenstadt\, 2920\, ch. de la Tour
SUMMARY:Anatoliy Swishchuk\, University of Calgary
URL:/mathstat/channels/event/anatoliy-swishchuk-univer
 sity-calgary-293085
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