A bivariate shot noise self-exciting process for insurance
Year of publication: |
2013
|
---|---|
Authors: | Jang, Jiwook ; Dassios, Angelos |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 524-532
|
Subject: | Bivariate shot noise self-exciting process | Hawkes process | Piecewise deterministic Markov process | Martingale methodology | Insurance premium | Theorie | Theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Martingal | Martingale | Versicherungsbeitrag |
-
A bivariate shot noise self-exciting process for insurance
Jang, Jiwook, (2013)
-
Diffusions, Markov processes, and martingales
Rogers, Leonard C. G., (1979)
-
Pricing of unemployment insurance products with doubly stochastic Markov chains
Biagini, Francesca, (2012)
- More ...
-
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
Dassios, Angelos, (2003)
-
Dassios, Angelos, (2019)
-
A risk model with renewal shot-noise Cox process
Dassios, Angelos, (2015)
- More ...