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  • Search: subject:"shot noise process"
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Subject
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Stochastic process 7 Stochastischer Prozess 7 Theorie 6 Theory 6 Shot noise process 4 shot noise process 4 Markov chain 3 Markov-Kette 3 Option pricing theory 3 Optionspreistheorie 3 Schock 3 Shock 3 Volatility 3 Volatilität 3 Classical risk process 2 Continuous mapping theorem 2 Derivat 2 Derivative 2 Discounted penalty function 2 First passage time 2 Hawkes process 2 Interest 2 Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Shot-noise process 2 Simulation 2 shot-noise process 2 Bernoulli sieve 1 Black-Scholes model 1 Black-Scholes-Modell 1 Bruttoinlandsprodukt 1 Business process management 1 Common shock model 1 Compound Poisson 1 Contagion 1 Convergence in distribution 1 Correlation 1 Credit derivative 1 Credit risk 1 Depoissonization 1
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Undetermined 13
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Article 15
Type of publication (narrower categories)
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Article in journal 9 Aufsatz in Zeitschrift 9 research-article 1
Language
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English 10 Undetermined 5
Author
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Dassios, Angelos 3 Cha, Ji Hwan 2 Hainaut, Donatien 2 Iksanov, Alexander 2 Qu, Yan 2 Schmidli, Hanspeter 2 Zhao, Hongbiao 2 Dong, Yinghui 1 Finkelstein, Maxim 1 Jang, Ji-Wook 1 Jang, Jiwook 1 Lee, Hyunju 1 Liang, Xiaoqing 1 Lu, Yi 1 Moraux, Franck 1 Shen, Xinmei 1 Wang, Guojing 1 Yuen, Kam Chuen 1 Zhang, Yi 1
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Published in...
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Insurance / Mathematics & economics 3 Journal of the Operational Research Society 2 Stochastic Processes and their Applications 2 Asia-Pacific Journal of Risk and Insurance 1 Finance and Stochastics 1 IMA journal of management mathematics 1 Insurance: Mathematics and Economics 1 Scandinavian actuarial journal 1 Statistics & Probability Letters 1 The journal of computational finance 1 Top : transactions in operations research 1
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Source
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ECONIS (ZBW) 9 RePEc 5 Other ZBW resources 1
Showing 11 - 15 of 15
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Functional limit theorems for renewal shot noise processes with increasing response functions
Iksanov, Alexander - In: Stochastic Processes and their Applications 123 (2013) 6, pp. 1987-2010
We consider renewal shot noise processes with response functions which are eventually nondecreasing and regularly varying at infinity. We prove weak convergence of renewal shot noise processes, properly normalized and centered, in the space D[0,∞) under the J1 or M1 topology. The limiting...
Persistent link: https://www.econbiz.de/10011065014
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On the number of empty boxes in the Bernoulli sieve II
Iksanov, Alexander - In: Stochastic Processes and their Applications 122 (2012) 7, pp. 2701-2729
The Bernoulli sieve is the infinite “balls-in-boxes” occupancy scheme with random frequencies Pk=W1⋯Wk−1(1−Wk), where (Wk)k∈N are independent copies of a random variable W taking values in (0,1). Assuming that the number of balls equals n, let Ln denote the number of empty boxes...
Persistent link: https://www.econbiz.de/10011064966
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Moderate deviations for a risk model based on the customer-arrival process
Shen, Xinmei; Zhang, Yi - In: Statistics & Probability Letters 82 (2012) 1, pp. 116-122
multiplying a shot function, and the model can be treated as a Poisson shot noise process. …
Persistent link: https://www.econbiz.de/10010582245
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The Cost of Delay in a Mortgage/Credit Loan Portfolio
Jang, Jiwook - In: Asia-Pacific Journal of Risk and Insurance 4 (2009) 1
relationship between the shot noise process and accumulated/discounted aggregate losses process and applying the piecewise …
Persistent link: https://www.econbiz.de/10014585470
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Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
Jang, Ji-Wook; Dassios, Angelos - In: Finance and Stochastics 7 (2003) 1, pp. 73-95
events. The shot noise process is used for the claim intensity function within the Cox process. The Cox process with shot …
Persistent link: https://www.econbiz.de/10005759608
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