A bivariate shot noise self-exciting process for insurance
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Cites work
- scientific article; zbMATH DE number 3901778 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A cluster process representation of a self-exciting process
- A dynamic contagion process
- Affine point processes and portfolio credit risk
- An Introduction to the Theory of Point Processes
- Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
- Estimating value-at-risk: a point process approach
- Hawkes branching point processes without ancestors
- Maximum likelihood estimation of Hawkes' self-exciting point processes
- Modelling Financial High Frequency Data Using Point Processes
- Modelling security market events in continuous time: intensity based, multivariate point process models
- Multivariate Hawkes processes: an application to financial data
- Power spectra of general shot noises and Hawkes point processes with a random excitation
- Power spectra of random spike fields and related processes
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- Risk analysis of collateralized debt obligations
- Risk processes with non-stationary Hawkes claims arrivals
- Ruin by dynamic contagion claims
- Spectra of some self-exciting and mutually exciting point processes
- Stability of nonlinear Hawkes processes
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
- The distribution of the interval between events of a Cox process with shot noise intensity
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- 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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