Notes on discrete compound Poisson model with applications to risk theory

DOI10.1016/j.insmatheco.2014.09.012zbMath1306.60050WikidataQ55954007 ScholiaQ55954007MaRDI QIDQ2514632

Bo Li, Yunxiao Liu, Hui-Ming Zhang

Publication date: 3 February 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.09.012

zbMATH Keywords

compound Poisson distribution; Wiener-Lévy theorem; CreditRisk\(^+\) model; geometric Brownian motion with jumps; integer-valued Lévy process; pseudo compound Poisson distribution

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G40: Credit risk

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Uses Software

• CreditRisk+

Cites Work

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