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Explosive Poisson Shot Noise Processes with Applications to Risk Reserves
6 references·14 citing·41 second hop
Explosive Poisson Shot Noise Processes with Applications to Risk Reserves (1995)Explosive Poisson Shot Noise Processes wi…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Prediction of Outstanding Liabilities in Non-Life Insurance (1993)Prediction of Outstanding Lia…Generalized Gamma Convolutions and Related Classes of Distributions and Densities (1992)Generalized Gamma Convolution…Aspects of Risk Theory (1991)Aspects of Risk TheoryStopped Random Walks (1988)Stopped Random WalksAn introduction to mathematical risk theory (1979)An introduction to mathematic…Shot-noise queueing models (2021)Shot-noise queueing modelsNonstationary self‐similar Gaussian processes as scaling limits of power‐law shot noise processes and generalizations of fractional Brownian motion (2019)Nonstationary self‐similar Ga…Density estimation for compound Poisson processes from discrete data (2013)Density estimation for compou…Risk Processes with Non-stationary Hawkes Claims Arrivals (2008)Risk Processes with Non-stati…Mean-variance portfolio selection for a non-life insurance company (2007)Mean-variance portfolio selec…Sample Path Large Deviations Principles for Poisson Shot Noise Processes and Applications (2005)Sample Path Large Deviations …Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts (2005)Kalman-Bucy Filtering for Lin…Martingale Approach for Moments of Discounted Aggregate Claims (2004)Martingale Approach for Momen…Fractional Brownian motion as a weak limit of Poisson shot noise processes—with applications to finance (2004)Fractional Brownian motion as…An insensitivity property of Lundberg's estimate for delayed claims (2000)An insensitivity property of …Telecommunication traffic, queueing models, and subexponential distributions (1999)Telecommunication traffic, qu…Linear stochastic fluid networks (1999)Linear stochastic fluid netwo…Limit theorems for workload input models (1996)Limit theorems for workload i…Delay in claim settlement and ruin probability approximations (1995)Delay in claim settlement and…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Long memory relationships and the aggregation of dynamic models (1980)Point Processes and Queues: Martingale Dynamics. (1983)Gaussian moving averages, semimartingales and option pricing (2003)A Limit Theorem for Financial Markets with Inert Investors (2006)Fractional Processes as Models in Stochastic Finance (2011)Financial Modelling with Jump Processes (2003)Lévy Processes and Stochastic Calculus (2004)Stochastic Integration and Differential Equations (2005)Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer (2013)Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models (2014)Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2015)Brownian Motion and Stochastic Flow Systems. (1987)Stock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Model (1995)Fractional Brownian Heavy Traffic Approximations of Multiclass Feedforward Queueing Networks (2005)An introduction to stochastic partial differential equations (2006)Fractional Brownian Motion with H < 1/2 as a Limit of Scheduled Traffic (2012)Point Processes and Queues (1981)Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insurance and Finance (2001)Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims (2013)Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps (2014)Limit Theorems for Marked Hawkes Processes with Application to a Risk Model (2015)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Dividends (2004)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Multivariate subordination, self-decomposability and stability (2001)Convolution equivalence and infinite divisibility (2004)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Option pricing by Esscher transforms. (1995)Premium Calculation by Transforming the Layer Premium Density (1996)On the Time Value of Ruin (1998)Claims Reserving in Continuous Time; A Nonparametric Bayesian Approach (1996)Prediction of Outstanding Liabilities II. Model Variations and Extensions (1999)Micro-level stochastic loss reserving for general insurance (2013)The Asymptotic Efficiency of Simulation Estimators (1992)Is Network Traffic Appriximated by Stable Lévy Motion or Fractional Brownian Motion? (2002)A stochastic mesh method for pricing high-dimensional American options (2004)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1979An introduction to mathematical risk theory914 cited
  • 1991Aspects of Risk Theory902 cited
  • 1988Stopped Random Walks384 cited
  • 1992Generalized Gamma Convolutions and Related Classes of Distributions and Densities318 cited
  • 1993Prediction of Outstanding Liabilities in Non-Life Insurance161 cited

Cited by

  • 2008Risk Processes with Non-stationary Hawkes Claims Arrivals80 cited
  • 2004Fractional Brownian motion as a weak limit of Poisson shot noise processes—with applications to finance74 cited
  • 1996Limit theorems for workload input models64 cited
  • 2007Mean-variance portfolio selection for a non-life insurance company63 cited
  • 2004Martingale Approach for Moments of Discounted Aggregate Claims47 cited
  • 1995Delay in claim settlement and ruin probability approximations47 cited
  • 2005Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts46 cited
  • 2000An insensitivity property of Lundberg's estimate for delayed claims43 cited
  • 2013Density estimation for compound Poisson processes from discrete data

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35 cited
  • 2005Sample Path Large Deviations Principles for Poisson Shot Noise Processes and Applications30 cited
  • 1999Linear stochastic fluid networks27 cited
  • 2019Nonstationary self‐similar Gaussian processes as scaling limits of power‐law shot noise processes and generalizations of fractional Brownian motion27 cited
  • 1999Telecommunication traffic, queueing models, and subexponential distributions25 cited
  • 2021Shot-noise queueing models17 cited