A non-homogeneous Poisson cluster model is studied, motivated by insurance applications. The Poisson center process which expresses arrival times of claims, triggers off cluster member processes which correspond to number or amount of payments. The cluster member process is an additive process....

We consider the numerical evaluation of one-dimensional projections of general multivariate stable densities introduced by Abdul-Hamid and Nolan [H. Abdul-Hamid, J.P. Nolan, Multivariate stable densities as functions of one dimensional projections, J. Multivariate Anal. 67 (1998) 80-89]. In...

The multidimensional generalized Ornstein-Uhlenbeck process is defined as an extended version of the generalized Ornstein-Uhlenbeck process of which integral is with respect to a multidimensional Lévy process. The condition for the stationarity of the process and that for the convergence are...