In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the...

In this paper, we study a bivariate shot noise Hawkes process. This process includes both externally excited joint jumps following a homogeneous Poisson process and two separate self-excited jumps, which are two Poisson cluster processes. A constant rate of exponential decay is included in this...

This paper considers the robust equilibrium reinsurance and investment strategies for an ambiguity-averse insurer under a dynamic mean-variance criterion. The insurer is allowed to purchase excess-of-loss reinsurance and invest in a financial market consisting of a risk-free asset and a credit...