Moments of renewal shot-noise processes and their applications
Publication:4562034
DOI10.1080/03461238.2018.1452285zbMath1418.91243OpenAlexW2789339966MaRDI QIDQ4562034
Hongbiao Zhao, Angelos Dassios, Ji-Wook Jang
Publication date: 14 December 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/87428/
reliabilitycredit riskmartingale methodpiecewise-deterministic Markov processesdiscounted aggregate claimsMonte Carlo exact simulationactuarial net premiumrenewal shot-noise processes
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)
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