Asymptotic analysis of Poisson shot noise processes, and applications
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Publication:2066967
Abstract: Poisson shot noise processes are natural generalizations of compound Poisson processes that have been widely applied in insurance, neuroscience, seismology, computer science and epidemiology. In this paper we study sharp deviations, fluctuations and the stable probability approximation of Poisson shot noise processes. Our achievements extend, improve and complement existing results in the literature. We apply the theoretical results to Poisson cluster point processes, including generalized linear Hawkes processes, and risk processes with delayed claims. Many examples are discussed in detail.
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Cited in
(19)- Explosive Poisson shot noise processes with applications to risk reserves
- Numerical aspects of shot noise representation of infinitely divisible laws and related processes
- Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time
- Large deviations for multidimensional state-dependent shot-noise processes
- Sample path large deviations of Poisson shot noise with heavy-tailed semiexponential distributions
- Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
- Moments of renewal shot-noise processes and their applications
- Moment generating function and applications of Poisson shot noise process
- Limiting properties of Poisson shot noise processes
- New Explicit Examples of Fixed Points of Poisson Shot Noise Transforms
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