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Journal articles

HIDDEN REGULAR VARIATION FOR POINT PROCESSES AND THE SINGLE/MULTIPLE LARGE POINT HEURISTIC

Abstract : We consider regular variation for marked point processes with independent heavy-tailed marks and prove a single large point heuristic: the limit measure is concentrated on the cone of point measures with one single point. We then investigate successive hidden regular variation removing the cone of point measures with at most k points, k ≥ 1, and prove a multiple large point phenomenon: the limit measure is concentrated on the cone of point measures with k + 1 points. We show how these results imply hidden regular variation in Sko-rokhod space of the associated risk process, in connection with the single/multiple large point heuristic from Rhee et al. (2019). Finally, we provide an application to risk theory in a reinsurance model where the k largest claims are covered and we study the asymptotic behavior of the residual risk.
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https://hal.archives-ouvertes.fr/hal-02168872
Contributor : Charles Tillier Connect in order to contact the contributor
Submitted on : Friday, February 12, 2021 - 5:04:03 PM
Last modification on : Tuesday, June 28, 2022 - 2:28:18 PM

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Clément Dombry, Olivier Wintenberger, Charles Tillier. HIDDEN REGULAR VARIATION FOR POINT PROCESSES AND THE SINGLE/MULTIPLE LARGE POINT HEURISTIC. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2022, 32 (1), ⟨10.1214/21-AAP1675⟩. ⟨hal-02168872v2⟩

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