Multivariate Counting Processes: Copulas and Beyond

DOI10.2143/AST.35.2.2003459MaRDI QIDQ5490599zbMATH OpenOpenAlexFDO

Authors Nicole Bäuerle, Rudolf Grübel

Publication date 4 October 2006

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.35.2.2003459

zbMATH Keywords

stochastic orderingstochastic modellingdependencyclaim arrival processes

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites work

• scientific article; zbMATH DE number 997340 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• A connection between supermodular ordering and positive/negative association.
• Association of Random Variables, with Applications
• Comparison methods for stochastic models and risks
• Financial Modelling with Jump Processes

Cited in

(23)

• A new class of multivariate counting processes and its characterization
• A backward construction and simulation of correlated Poisson processes
• Preservation of multivariate dependence under multivariate claim models
• Shifting spike times or adding and deleting spikes -- how different types of noise shape signal transmission in neural populations
• Modelling dependence in insurance claims process with Lévy copulas
• Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities
• Multidimensional insurance model with risk-reducing treaty
• Construction of optimal reliability test plans for binary type multi-state strongly coherent systems
• Bayesian optimal investment and reinsurance with dependent financial and insurance risks
• Copula Analysis of Correlated Counts
• On a multivariate Pareto distribution
• On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
• scientific article; zbMATH DE number 495886 (Why is no real title available?)
• Multivariate insurance models: an overview
• Matchmaking and testing for exponentiality in the \(M/G/\infty\) queue
• Robust optimal investment and reinsurance problems with learning
• A multivariate counting process with Weibull-distributed first-arrival times.
• Multivariate risk processes with interacting intensities
• Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
• Multivariate Tweedie distributions and some related capital-at-risk analyses
• Recovery process model for two companies
• Coupling Poisson processes by self-decomposability
• Modeling, simulation and inference for multivariate time series of counts using trawl processes

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