Prediction in a Poisson cluster model

DOI10.1239/JAP/1276784896zbMath1200.60033OpenAlexW2038363711MaRDI QIDQ3578669

Thomas Mikosch, Muneya Matsui

Publication date: 20 July 2010

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1276784896

zbMATH Keywords

predictionconditional expectationinsuranceLévy processshot noiseclaims reservingPoisson cluster model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (8)

Fractional absolute moments of heavy tailed distributions ⋮ Prediction in a mixed Poisson cluster model ⋮ Prediction of components in random sums ⋮ Prediction in a Poisson cluster model with multiple cluster processes ⋮ On renewal theory for cluster processes ⋮ On the modelling of multivariate counts with Cox processes and dependent shot noise intensities ⋮ Prediction in a non-homogeneous Poisson cluster model ⋮ Functional central limit theorems and moderate deviations for Poisson cluster processes

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