Multivariate Counting Processes: Copulas and Beyond
DOI10.2143/AST.35.2.2003459zbMATH Open1098.62132OpenAlexW4242645491MaRDI QIDQ5490599FDOQ5490599
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
Recommendations
- On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
- Multivariate risk processes with interacting intensities
- Modelling dependence in insurance claims process with Lévy copulas
- Preservation of multivariate dependence under multivariate claim models
- A multivariate counting process with Weibull-distributed first-arrival times.
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)
Cites Work
- Financial Modelling with Jump Processes
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- Association of Random Variables, with Applications
- Comparison methods for stochastic models and risks
- A connection between supermodular ordering and positive/negative association.
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
- Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities
- Modelling dependence in insurance claims process with Lévy copulas
- Shifting spike times or adding and deleting spikes -- how different types of noise shape signal transmission in neural populations
- 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
- Title not available (Why is that?)
- On a multivariate Pareto distribution
- On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
- Matchmaking and testing for exponentiality in the \(M/G/\infty\) queue
- Multivariate insurance models: an overview
- 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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