Moments of renewal shot-noise processes and their applications
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Publication:4562034
DOI10.1080/03461238.2018.1452285zbMath1418.91243MaRDI QIDQ4562034
Hongbiao Zhao, Angelos Dassios, Ji-Wook Jang
Publication date: 14 December 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/87428/
reliability; credit risk; martingale method; piecewise-deterministic Markov processes; discounted aggregate claims; Monte Carlo exact simulation; actuarial net premium; renewal shot-noise processes
62P05: Applications of statistics to actuarial sciences and financial mathematics
60K10: Applications of renewal theory (reliability, demand theory, etc.)
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
91G40: Credit risk
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