Jang, Jiwook; Dassios, Angelos - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 524-532
In this paper, we study a bivariate shot noise self-exciting process. This process includes both externally excited joint jumps, which are distributed according to a shot noise Cox process, and two separate self-excited jumps, which are distributed according to the branching structure of a...
