A bivariate shot noise self-exciting process for insurance
From MaRDI portal
Publication:2015619
DOI10.1016/j.insmatheco.2013.08.003zbMath1290.60055MaRDI QIDQ2015619
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
Hawkes process; piecewise deterministic Markov process; insurance premium; bivariate shot noise self-exciting process; martingale methodology
60J25: Continuous-time Markov processes on general state spaces
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
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Cites Work
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