The distribution of the interval between events of a Cox process with shot noise intensity (Q1009401): Difference between revisions
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| Property / cites work: Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity / rank | |||
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| Property / cites work: Martingales and insurance risk / rank | |||
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Latest revision as of 10:12, 1 July 2024
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The distribution of the interval between events of a Cox process with shot noise intensity |
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The distribution of the interval between events of a Cox process with shot noise intensity (English)
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1 April 2009
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Summary: Applying piecewise deterministic Markov processes theory, the probability generating function of a Cox process, incorporating with shot noise process as the claim intensity, is obtained. We also derive the Laplace transform of the distribution of the shot noise process at claim jump times, using stationary assumption of the shot noise process at any times. Based on this Laplace transform and from the probability generating function of a Cox process with shot noise intensity, we obtain the distribution of the interval of a Cox process with shot noise intensity for insurance claims and its moments, that is, mean and variance.
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