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  • Search: subject:"marked point processes"
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Year of publication
Subject
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marked point processes 19 Marked point processes 14 Theorie 6 Stochastic process 5 Stochastischer Prozess 5 Theory 5 copulas 5 dynamic models 5 exponential family 5 non-linearity 5 time-varying parameters 5 agglomeration 4 spatial clusters 4 Agglomeration effect 2 Agglomerationseffekt 2 Martingal 2 Martingale 2 Regional cluster 2 Regional economics 2 Regionales Cluster 2 Regionalökonomik 2 Reinsurance market 2 Räumliche Interaktion 2 Räumliche Verteilung 2 Spatial concentration 2 Spatial distribution 2 Spatial interaction 2 Stochastic volatility 2 Zeitreihenanalyse 2 discontinuous prices 2 filtering 2 hedging under restricted information 2 jump-diffusions 2 measure decomposition 2 risk minimizing hedging strategies 2 spatial econometrics 2 stereology 2 stochastic filtering 2 stochastic geometry 2 Accumulation risk 1
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Online availability
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Undetermined 20 Free 11
Type of publication
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Article 27 Book / Working Paper 9
Type of publication (narrower categories)
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Article in journal 7 Aufsatz in Zeitschrift 7 Article 2 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
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Language
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Undetermined 22 English 14
Author
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Creal, Drew 5 Koopman, Siem Jan 5 Lucas, André 4 Arbia, Giuseppe 3 Espa, Giuseppe 3 Frey, Rüdiger 3 Giuliani, Diego 3 Bernis, Guillaume 2 Bonneu, Florent 2 CECI, CLAUDIA 2 GERARDI, ANNA 2 Gottard, Anna 2 Runggaldier, Wolfgang J. 2 Thomas-Agnan, Christine 2 Assunção, R. 1 Björk, Tomas 1 Calzolari, Antonella 1 Cartea, Álvaro 1 Chang, Chien-Hsun 1 Christensen, Bent Jesper 1 Christiansen, Marcus C. 1 Comas, C. 1 Comas, Carles 1 Corral, Álvaro 1 Dreassi, Emanuela 1 Dshalalow, Jewgeni H. 1 Eckardt, Matthias 1 Ferrari, P. 1 Frühwirth-Schnatter, Sylvia 1 Fujiwara, Kantaro 1 Furrer, Christian 1 Glasserman, Paul 1 Gundersen, H. 1 Hashiguchi, Hiroki 1 Ikeguchi, Tohru 1 Jaimungal, Sebastian 1 Jensen, E. 1 Jensen, Eva Vedel 1 Jouini, Elyès 1 Kiêu, K. 1
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Institution
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Dipartimento di Economia e Management, Università degli Studi di Trento 1 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 1 Institute of Economic Research, Hitotsubashi University 1 Tinbergen Institute 1 Tinbergen Instituut 1 Toulouse School of Economics (TSE) 1 Université Paris-Dauphine (Paris IX) 1
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Published in...
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Annals of the Institute of Statistical Mathematics 4 Finance and Stochastics 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 Metrika 2 Physica A: Statistical Mechanics and its Applications 2 Tinbergen Institute Discussion Papers 2 Computational Statistics 1 Department of Economics Working Papers / Dipartimento di Economia e Management, Università degli Studi di Trento 1 Discussion paper / Tinbergen Institute 1 Economic Theory 1 Economics Papers from University Paris Dauphine 1 European Actuarial Journal 1 Global COE Hi-Stat Discussion Paper Series 1 Insurance / Mathematics & economics 1 International Regional Science Review 1 International Statistical Review 1 International journal of theoretical and applied finance 1 International journal of theoretical and applied finance : IJTAF 1 International regional science review 1 Market microstructure and liquidity 1 Mathematical Methods of Operations Research 1 SSE/EFI Working Paper Series in Economics and Finance 1 Spatial economic analysis : the journal of the Regional Studies Association 1 Statistical Methods and Applications 1 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 1 TSE Working Papers 1 Tinbergen Institute Discussion Paper 1 Top : transactions in operations research 1
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Source
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RePEc 25 ECONIS (ZBW) 8 EconStor 3
Showing 1 - 10 of 36
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Martingale representations in progressive enlargement by multivariate point processes
Calzolari, Antonella; Torti, Barbara - In: International journal of theoretical and applied … 25 (2022) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10013371038
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A comprehensive model for cyber risk based on marked point processes and its application to insurance
Zeller, Gabriela; Scherer, Matthias - In: European Actuarial Journal 12 (2021) 1, pp. 33-85
risk using marked point processes is proposed. Key covariates, required to model frequency and severity of cyber claims …
Persistent link: https://www.econbiz.de/10014502090
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Dynamics of state-wise prospective reserves in the presence of non-monotone information
Christiansen, Marcus C.; Furrer, Christian - In: Insurance / Mathematics & economics 97 (2021), pp. 81-98
Persistent link: https://www.econbiz.de/10012491966
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Latency and liquidity risk
Cartea, Álvaro; Jaimungal, Sebastian; … - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-37
Persistent link: https://www.econbiz.de/10012807838
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Measuring and testing spatial mass concentration with micro-geographic data
Thomas-Agnan, Christine; Bonneu, Florent - Toulouse School of Economics (TSE) - 2014
We address the question of measuring and testing industrial spatial concentration based on micro-geographic data with distance based methods. We discuss the basic requirements for such measures and we propose four additional requirements. We also discuss the null assumptions classically used for...
Persistent link: https://www.econbiz.de/10010760347
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Fluctuation analysis in queues with several operational modes and priority customers
Dshalalow, Jewgeni H.; Merie, Ahmed - In: Top : transactions in operations research 26 (2018) 2, pp. 309-333
Persistent link: https://www.econbiz.de/10011889527
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Hybrid marked point processes : characterization, existence and uniqueness
Morariu-Patrichi, Maxime; Pakkanen, Mikko S. - In: Market microstructure and liquidity 4 (2018) 3/4, pp. 1-55
Persistent link: https://www.econbiz.de/10012227886
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Weighting Ripley’s K-function to account for the firm dimension in the analysis of spatial concentration
Espa, Giuseppe; Giuliani, Diego; Arbia, Giuseppe - Dipartimento di Economia e Management, Università … - 2010
The spatial concentration of firms has long been a central issue in economics both under the theoretical and the applied point of view due mainly to the important policy implications. A popular approach to its measurement, which does not suffer from the problem of the arbitrariness of the...
Persistent link: https://www.econbiz.de/10008677654
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A General Framework for Observation Driven Time-Varying Parameter Models
Creal, Drew; Koopman, Siem Jan; Lucas, Andre - Institute of Economic Research, Hitotsubashi University - 2009
We propose a new class of observation driven time series models that we refer to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled likelihood score. This provides a unified and consistent framework for introducing time-varying parameters in a...
Persistent link: https://www.econbiz.de/10005650699
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Measuring and testing spatial mass concentration with micro-geographic data
Bonneu, Florent; Thomas-Agnan, Christine - In: Spatial economic analysis : the journal of the Regional … 10 (2015) 3, pp. 289-316
Persistent link: https://www.econbiz.de/10011326243
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