A dynamic contagion process
From MaRDI portal
Recommendations
Cites work
- A cluster process representation of a self-exciting process
- Affine point processes and portfolio credit risk
- Affine processes and applications in finance
- An Introduction to the Theory of Point Processes
- Estimating value-at-risk: a point process approach
- scientific article; zbMATH DE number 425394 (Why is no real title available?)
- scientific article; zbMATH DE number 3901778 (Why is no real title available?)
- scientific article; zbMATH DE number 3951715 (Why is no real title available?)
- Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
- Large Deviations of Poisson Cluster Processes
- On Cox processes and credit risky securities
- Power spectra of general shot noises and Hawkes point processes with a random excitation
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- Risk processes with non-stationary Hawkes claims arrivals
- Spectra of some self-exciting and mutually exciting point processes
- Stability of nonlinear Hawkes processes
- Stability results for a general class of interacting point processes dynamics, and applications
- Stationary distributions for piecewise-deterministic Markov processes
- The Markovian self-exciting process
Cited in
(90)- A general framework for time-changed Markov processes and applications
- Stochastic models for the infectivity function in an infinite population of susceptible individuals
- Dynamics of multivariate default system in random environment
- Moderate deviations for marked Hawkes processes
- Limit theorems for non-Markovian marked dynamic contagion processes
- A Markov modulated dynamic contagion process with application to credit risk
- Asymptotics for Hawkes processes with large and small baseline intensities
- A bivariate shot noise self-exciting process for insurance
- Functional limit theorems for marked Hawkes point measures
- Pricing power exchange options with Hawkes jump diffusion processes
- Financial contagion through space-time point processes
- Surrender contagion in life insurance
- Cluster point processes and Poisson thinning INARMA
- Moments for Hawkes processes with gamma decay kernel functions
- Fractional Hawkes processes
- Modelling of limit order books by general compound Hawkes processes with implementations
- Recursive computation of the Hawkes cumulants
- Limit theorems for an inverse Markovian Hawkes process
- Limit theorems for discrete Hawkes processes
- Alpha-CIR model with branching processes in sovereign interest rate modeling
- Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
- Contagion modeling between the financial and insurance markets with time changed processes
- Limit theorems for the compensator of Hawkes processes
- Ruin by dynamic contagion claims
- Time-consistent evaluation of credit risk with contagion
- Transform analysis for point processes and applications in credit risk
- A risk model with delayed claims
- Central limit theorem for nonlinear Hawkes processes
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
- An elementary derivation of moments of Hawkes processes
- Transform analysis for Hawkes processes with applications in dark pool trading
- Constant proportion portfolio insurance strategies in contagious markets
- Infinite-server queues with Hawkes input
- Moments of renewal shot-noise processes and their applications
- Modeling memory effects in activity-driven networks
- Efficient simulation of clustering jumps with CIR intensity
- Identification of almost unstable Hawkes processes
- Contagion
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- An extension of Hawkes processes with ephemeral nearest effects
- Asymptotics for an extended inverse Markovian Hawkes process
- A novel point process model for COVID-19: multivariate recursive Hawkes process
- Modelling social media contagion using Hawkes processes
- Classification of flash crashes using the Hawkes \(p,q\) framework
- Mean-variance portfolio selection in contagious markets
- Numerical method for means of linear Hawkes processes
- An ephemerally self-exciting point process
- Partial self-exciting point processes and their parameter estimations
- Queues driven by Hawkes processes
- Efficient simulation of Lévy-driven point processes
- Limit theorems for inverse process \(T_n\) of Hawkes process
- A self-exciting switching jump diffusion: properties, calibration and hitting time
- The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
- Limit theorems for Hawkes processes with uniform immigrants
- Matrix calculations for moments of Markov processes
- Asymptotic results for a class of Markovian self-exciting processes
- A contagion process with self-exciting jumps in credit risk applications
- Extended generator and associated martingales for M/G/1 retrial queue with classical retrial policy and general retrial times
- Bayesian estimation of nonlinear Hawkes processes
- Optimal reinsurance via BSDEs in a partially observable model with jump clusters
- On the cumulant transforms for Hawkes processes
- Limit theorems for an extended inverse Hawkes process with general exciting functions
- Quantifying and Managing Uncertainty in Piecewise-Deterministic Markov Processes
- A recursive method for fractional Hawkes intensities and the potential approach of credit risk
- Diffusion approximations for self-excited systems with applications to general branching processes
- Study of discrete-time Hawkes process and its compensator
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Multivariate Hawkes process allowing for common shocks
- The design of optimal re-insurance contracts when losses are clustered
- Contract design under an enhanced dynamic contagious process
- On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models
- Optimal self-protection via BSDEs for risk models with jump clusters
- Spectral analysis for the inference of noisy Hawkes processes
- Tempered fractional Hawkes process and its generalizations
- Limit theorems for Cox-Ingersoll-Ross process with externally and self-exciting jumps and application to finance
- Corrigendum to: ``Extended generator and associated martingales for \(M/G/1\) retrial queue with classical retrial policy and general retrial times
- Expectations of linear and nonlinear Hawkes processes using a field-theoretical approach
- Editorial. A tribute to Professor Geoffrey Alan Hawkes (19 September 1938 -- 9 November 2023)
- Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes
- Exact asymptotics of ruin probabilities with linear Hawkes arrivals
- Asymptotic results for dynamic contagion processes with different exciting functions and application to risk models
- Optimal monotone mean-variance problem in a catastrophe insurance model
- Stochastic control for diffusions with self-exciting jumps: an overview
- Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration
- Optimal dividend, investment, and risk control strategies in a financial market with dynamic contagion jumps
- Limit theorems for marked dynamic contagion processes with mean-reverting Cox-Ingersoll-Ross intensity
- Duality and transform analysis for non-decreasing functionals of stochastic processes and their applications
- Optimal reinsurance-investment strategy for a dynamic contagion claim model
- A risk model with renewal shot-noise Cox process
- Contagion and efficiency
This page was built for publication: A dynamic contagion process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3173006)
