Orateur
Thomas Peyrat
(Institut de Mathématique de Toulouse - CREST-ENSAE - Exiom Partners)
Description
In insurance, one of the processes commonly used to model risk is the compound Poisson process. Assuming independence between the counting process (Poisson Process) and the claims (independent and identically distributed random variables), the calculation of the first two cumulants is immediate. However, these assumptions limit the scope of application of this process to certain risks. In order to remove some of these assumptions, we will present a similar model in which the counting process is a Hawkes process whose intensity is impacted by claims. We will also briefly present a methodology for calculating the first two cumulants of this process.
