Prediction in a Poisson cluster model
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Cites work
- Delay in claim settlement and ruin probability approximations
- Explosive Poisson shot noise processes with applications to risk reserves
- Extremal behavior of heavy-tailed ON-periods in a superposition of ON/OFF processes
- Extremal properties of shot noise processes
- Extremes for shot noise processes with heavy tailed amplitudes
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- Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
- Macroscopic models for long-range dependent network traffic
- Modeling teletraffic arrivals by a Poisson cluster process
- Non-life insurance mathematics. An introduction with the Poisson process
- Normal convergence of multidimensional shot noise and rates of this convergence
- Prediction of outstanding payments in a Poisson cluster model
- Regular variation in the mean and stable limits for Poisson shot noise
- Renewal reward processes with heavy-tailed inter-renewal times and heavy-tailed rewards
- Scaling Limits for Cumulative Input Processes
- The Berry-Esseen bound for the Poisson shot-noise
- The central limit theorem for the Poisson shot-noise process
- The limit of a renewal reward process with heavy-tailed rewards is not a linear fractional stable motion
- Which stochastic model is underlying the chain ladder method?
Cited in
(17)- Trend analysis and prediction procedures for time nonhomogeneous claim processes
- Predicting a cyclic Poisson process
- On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
- Infinitely stochastic micro reserving
- Prediction of components in random sums
- Prediction of outstanding payments in a Poisson cluster model
- Fractional absolute moments of heavy tailed distributions
- Prediction in a mixed Poisson cluster model
- Prediction of Outstanding Liabilities II. Model Variations and Extensions
- Prediction in Some Poisson Errors in Variables Models
- Prediction in a Poisson cluster model with multiple cluster processes
- Prediction of shot noise
- Functional central limit theorems and moderate deviations for Poisson cluster processes
- Bayesian prediction from a compound statistical model: an actuarial application
- Agnostic insurability of model classes
- On renewal theory for cluster processes
- Prediction in a non-homogeneous Poisson cluster model
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