A risk model with renewal shot-noise Cox process (Q896743): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / OpenAlex ID
 
Property / OpenAlex ID: W3125837313 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ruin probabilities and aggregrate claims distributions for shot noise Cox processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conjugate processes and the simulation of ruin problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic simulation: Algorithms and analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3314809 / rank
 
Normal rank
Property / cites work
 
Property / cites work: An insensitivity property of Lundberg's estimate for delayed claims / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5609896 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Inverse Gaussian Distribution as a Lifetime Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4692900 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3227941 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3228986 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3883242 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5526518 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and insurance risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts / rank
 
Normal rank
Property / cites work
 
Property / cites work: A dynamic contagion process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ruin by dynamic contagion claims / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3680030 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3136505 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Importance Sampling for Stochastic Simulations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5649230 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform / rank
 
Normal rank
Property / cites work
 
Property / cites work: Explosive Poisson shot noise processes with applications to risk reserves / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk processes with shot noise Cox claim number process and reserve dependent premium rate / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generating Random Variates Using Transformations with Multiple Roots / rank
 
Normal rank
Property / cites work
 
Property / cites work: Shot noise Cox processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalised shot noise Cox processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5302587 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Importance sampling in the Monte Carlo study of sequential tests / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulating the ruin probability of risk processes with delay in claim settlement / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims / rank
 
Normal rank

Latest revision as of 04:35, 11 July 2024

scientific article
Language Label Description Also known as
English
A risk model with renewal shot-noise Cox process
scientific article

    Statements

    A risk model with renewal shot-noise Cox process (English)
    0 references
    0 references
    0 references
    0 references
    14 December 2015
    0 references
    risk model
    0 references
    ruin probability
    0 references
    renewal shot-noise Cox process
    0 references
    piecewise-deterministic Markov process
    0 references
    martingale method
    0 references
    importance sampling
    0 references
    change of probability measure
    0 references
    rare-event simulation
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references