Actuarial Seminar: M. Fabien Baeriswyl (Operation department - HEC)

Abstract: In this talk, we discuss the (hidden) regular variation of certain marked Poisson cluster point processes. (Hidden) regular variation of these processes is expressed as convergence on a space of point measures, where increasingly broad cones of possible limiting measures are successively removed. Using continuous mappings, we highlight that the then-obtained principles of hidden regular variation translates, in functional settings, to large deviation principles for trajectories of the functionals on Skorokhod space endowed with the right topology. This is a joint work with Olivier Wintenberger. 

Seminar organized by Prof. E. Hashorva