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

Clément Dombry 1 Charles Tillier 2 Olivier Wintenberger 3
1 Laboratoire de Mathématiques de Besançon
LMB - Laboratoire de Mathématiques de Besançon (UMR 6623)
2 TSI (TelecomParisTech)
LTCI - Laboratoire Traitement et Communication de l'Information
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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Submitted on : Saturday, June 29, 2019 - 4:14:19 PM
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Clément Dombry, Charles Tillier, Olivier Wintenberger. HIDDEN REGULAR VARIATION FOR POINT PROCESSES AND THE SINGLE/MULTIPLE LARGE POINT HEURISTIC. 2019. ⟨hal-02168872⟩

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