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/


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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