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  • Search: subject:"Compound Poisson Process"
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Year of publication
Subject
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Compound Poisson process 33 Stochastic process 30 Stochastischer Prozess 30 compound Poisson process 21 Theorie 14 Theory 14 Option pricing theory 9 Optionspreistheorie 9 Risiko 8 Risk 8 Probability theory 7 Risikomodell 7 Risk model 7 Wahrscheinlichkeitsrechnung 7 Estimation theory 6 Portfolio selection 6 Portfolio-Management 6 Schätztheorie 6 Brownian motion 5 Actuarial mathematics 4 Autocorrelation 4 Autokorrelation 4 Finanzmathematik 4 HJB equation 4 Mathematical finance 4 Reinsurance 4 Risikomanagement 4 Risk management 4 Ruin probability 4 Rückversicherung 4 Versicherungsmathematik 4 compound poisson process 4 Compound Poisson Process 3 Credit risk 3 Disaster 3 Ergodicity 3 Hamilton–Jacobi–Bellman equation 3 Inventory model 3 Katastrophe 3 Lagerhaltungsmodell 3
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Online availability
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Undetermined 41 Free 19 CC license 3
Type of publication
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Article 55 Book / Working Paper 15
Type of publication (narrower categories)
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Article in journal 31 Aufsatz in Zeitschrift 31 Article 2 Aufsatz im Buch 1 Book section 1 Graue Literatur 1 Hochschulschrift 1 Non-commercial literature 1
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Language
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English 44 Undetermined 25 French 1
Author
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Li, Dong 5 Ling, Shiqing 5 Gapeev, Pavel V. 4 Liang, Zhibin 4 Burnecki, Krzysztof 3 Giuricich, Mario Nicoló 3 Yu, Ping 3 Zhou, Ming 3 Azcue, Pablo 2 Bai, Lihua 2 Bayraktar, Erhan 2 Cai, Jun 2 Cavaliere, Giuseppe 2 Ebrahimi, Nader 2 Georgiev, Iliyan 2 Itoh, Yuki 2 Muler, Nora 2 Song, Jing-Sheng 2 Strietzel, Philipp Lukas 2 Yuen, Kam Chuen 2 Abdessalem, Mehdi Bekralas 1 Agliardi, Elettra 1 Agliardi, Rossella 1 Akyildirim, Erdinc 1 Avdiu, Kujtim 1 Bar-Lev, S. 1 Behme, Anita 1 Bi, Junna 1 Boxma, Onno 1 Carrillo, Manuel J. 1 Chan, Ngai 1 Chen, Kailing 1 Cherif, Sidi Mohamed Lalaoui Ben 1 Cheung, Eric C. K. 1 Choirat, Christine 1 Christoffersen, Peter 1 Comte, Fabienne 1 Dachian, Sergueï 1 Duval, Céline 1 Eddahbi, M'hamed 1
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 4 Dipartimento di Scienze Statistiche "Paolo Fortunati", Alma Mater Studiorum - Università di Bologna 2 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Econometric Society 1 Facoltà di Economia, Università degli Studi dell'Insubria 1 Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen 1 Graduate School of Economics, Hitotsubashi University 1 International Centre for Economic Research (ICER) 1 London School of Economics (LSE) 1
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Published in...
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Insurance 6 Risks : open access journal 4 SFB 649 Discussion Papers 4 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 3 Metrika 3 Annals of the Institute of Statistical Mathematics 2 Asia-Pacific Financial Markets 2 Insurance: Mathematics and Economics 2 Journal of Econometrics 2 Journal of econometrics 2 Management Science 2 Quaderni di Dipartimento 2 Statistical Inference for Stochastic Processes 2 Astin bulletin : the journal of the International Actuarial Association 1 CIRANO Working Papers 1 Computational Management Science : CMS 1 Computational Statistics 1 Discussion Papers / Graduate School of Economics, Hitotsubashi University 1 Econometric Society 2004 North American Winter Meetings 1 Economic modelling 1 Economics and Quantitative Methods 1 Economics letters 1 European journal of operational research : EJOR 1 Finance and Stochastics 1 ICER Working Papers - Applied Mathematics Series 1 International journal of financial engineering 1 International journal of production economics 1 International journal of theoretical and applied finance 1 Journal of financial stability 1 Journal of mathematical finance 1 LSE Research Online Documents on Economics 1 Manufacturing & Service Operations Management 1 Mathematical Methods of Operations Research 1 Mathematics of operations research 1 OR spectrum : quantitative approaches in management 1 Quantitative finance 1 Quantitative finance and economics 1 Queueing Systems 1 RAIRO 1 Risk management decisions and value under uncertainty 1
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Source
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RePEc 35 ECONIS (ZBW) 33 EconStor 2
Showing 11 - 20 of 70
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Stable weak approximation at work in index-linked catastrophe bond pricing
Burnecki, Krzysztof; Giuricich, Mario Nicoló - In: Risks 5 (2017) 4, pp. 1-19
We consider the subject of approximating tail probabilities in the general compound renewal process framework, where severity data are assumed to follow a heavy-tailed law (in that only the first moment is assumed to exist). By using the weak convergence of compound renewal processes to a-stable...
Persistent link: https://www.econbiz.de/10011996558
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Pricing climate-related risks in the bond market
Agliardi, Elettra; Agliardi, Rossella - In: Journal of financial stability 54 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012794081
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Algorithmic optimization and its application in finance
Avdiu, Kujtim - 2021
Persistent link: https://www.econbiz.de/10013337406
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Valuation of contingent convertible catastrophe bonds : the case for equity conversion
Burnecki, Krzysztof; Giuricich, Mario Nicoló; … - In: Insurance 88 (2019), pp. 238-254
Persistent link: https://www.econbiz.de/10012105571
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Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion
Zhang, Caibin; Liang, Zhibin; Yuen, Kam Chuen - In: International journal of financial engineering 6 (2019) 1, pp. 1-45
Persistent link: https://www.econbiz.de/10012028852
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A comprehensive analysis of warranty claims and optimal policies
Luo, Ming; Wu, Shaomin - In: European journal of operational research : EJOR 276 (2019) 1, pp. 144-159
Persistent link: https://www.econbiz.de/10011997869
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Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles
Bi, Junna; Chen, Kailing - In: RAIRO 53 (2019) 1, pp. 179-206
Persistent link: https://www.econbiz.de/10012113620
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A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
Hambuckers, J.; Kneib, Thomas; Langrock, Roland; … - In: Quantitative finance 18 (2018) 10, pp. 1679-1698
Persistent link: https://www.econbiz.de/10012259864
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Threshold regression asymptotics : from the compound Poisson process to two-sided Brownian motion
Yu, Ping; Phillips, Peter C. B. - In: Economics letters 172 (2018), pp. 123-126
Persistent link: https://www.econbiz.de/10012022094
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Approximation for portfolio optimization in a financial market with shot-noise jumps
Putyatina, Oleksandra; Sass, Jörn - In: Computational Management Science : CMS 15 (2018) 2, pp. 161-186
Persistent link: https://www.econbiz.de/10011876522
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