A bivariate shot noise self-exciting process for insurance
DOI10.1016/J.INSMATHECO.2013.08.003zbMATH Open1290.60055OpenAlexW2041737033MaRDI QIDQ2015619FDOQ2015619
Authors: Ji-Wook Jang, Angelos Dassios 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.08.003
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Hawkes processpiecewise deterministic Markov processinsurance premiumbivariate shot noise self-exciting processmartingale methodology
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Continuous-time Markov processes on general state spaces (60J25)
Cites Work
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- Multivariate Hawkes processes: an application to financial data
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- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
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- Ruin by dynamic contagion claims
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Cited In (15)
- Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
- Infinitely stochastic micro reserving
- An expansion formula for Hawkes processes and application to cyber-insurance derivatives
- Constant proportion portfolio insurance strategies in contagious markets
- Moment generating function of non-Markov self-excited claims processes
- Household lifetime strategies under a self-contagious market
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- The distribution of the interval between events of a Cox process with shot noise intensity
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- Hawkes processes in insurance: risk model, application to empirical data and optimal investment
- Second moment of self-exciting filter Poisson process
- Quasi-likelihood estimation in volatility models for semi-continuous time series
- Multivariate Hawkes process allowing for common shocks
- Hawkes processes framework with a gamma density as excitation function: application to natural disasters for insurance
- Point process modeling through a mixture of homogeneous and self-exciting processes
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