Poisson-Gamma mixture processes and applications to premium calculation

DOI10.1080/03610926.2020.1850791MaRDI QIDQ5095984zbMATH OpenOpenAlexFDO

Authors Shujin Wu

Publication date 12 August 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2020.1850791

zbMATH Keywords

gamma processmixture modelPoisson processpremium calculation

Mathematics Subject Classification ID

Stability theory for smooth dynamical systems (37C75) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites work

• A Poisson mixture model of discrete choice
• A Poisson model for the coverage problem with a genomic application
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• Bayesian Analysis of Two Overdispersed Poisson Models
• Credit-Risk Modelling
• CreditRisk\(^+\) in the banking industry.
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• Estimating linear functionals in Poisson mixture models
• scientific article; zbMATH DE number 3844885 (Why is no real title available?)
• Inference on the Number of Species Through Geometric Lower Bounds
• Minimizing the probability of ruin: optimal per-loss reinsurance
• On population size estimators in the Poisson mixture model
• On the distribution of cumulative Parisian ruin
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• The minimum \(L_{2}\) distance estimator for Poisson mixture models
• The one-inflated positive Poisson mixture model for use in population size estimation
• Theory of games and economic behavior.
• Translated Poisson mixture model for stratification learning
• Valuation of contingent convertible catastrophe bonds -- the case for equity conversion

Describes a project that uses

Uses Software

• CreditRisk+
• Python

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