Search Results - subject:"shot noise processes"

Catastrophe insurance modeled by shot-noise processes

Schmidt, Thorsten - In: Risks 2 (2014) 1, pp. 3-24

Shot-noise processes generalize compound Poisson processes in the following way: a jump (the shot) is followed by a … or self-exciting processes exhibit similar features. We give a general account of shot-noise processes with time … with shot-noise processes. Besides this, we obtain some highly tractable examples and constitute a useful modeling tool for …

Persistent link: https://www.econbiz.de/10010421269

Catastrophe Insurance Modeled by Shot-Noise Processes

Schmidt, Thorsten - In: Risks 2 (2014) 1, pp. 3-24

Persistent link: https://www.econbiz.de/10010744574

Moments of renewal shot-noise processes and their applications

Jang, Jiwook; Dassios, Angelos; Zhao, Hongbiao - In: Scandinavian actuarial journal (2018) 8, pp. 727-752

Persistent link: https://www.econbiz.de/10011939737

Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling

Baranovski, Alexander L. - 2010

In this paper we give a generalized model of the interest rates term structure including Nelson-Siegel and Svensson structure. For that we introduce a continuous m-factor exponential-polynomial form of forward interest rates and demonstrate its considerably better performance in a fitting of the...

Persistent link: https://www.econbiz.de/10010281583

Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling

Baranovski, Alexander L. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

Persistent link: https://www.econbiz.de/10008568495

Catastrophe insurance modeled by shot-noise processes

Schmidt, Thorsten - In: Risks : open access journal 2 (2014) 1, pp. 3-24

Persistent link: https://www.econbiz.de/10010338102

Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims

Zhu, Lingjiong - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 544-550

In this paper, we obtain the finite-horizon and infinite-horizon ruin probability asymptotics for risk processes with claims of subexponential tails for non-stationary arrival processes that satisfy a large deviation principle. As a result, the arrival process can be dependent, non-stationary...

Persistent link: https://www.econbiz.de/10010719089

Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims

Zhu, Lingjiong - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 544-550

Persistent link: https://www.econbiz.de/10010227943

Measuring statistical heterogeneity: The Pietra index

Eliazar, Iddo I.; Sokolov, Igor M. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 1, pp. 117-125

: renewal processes and continuous time random walks; infinite-server queueing systems and shot noise processes; financial …

Persistent link: https://www.econbiz.de/10011060833