The distribution of the interval between events of a Cox process with shot noise intensity

DOI10.1155/2008/367170zbMath1159.60304OpenAlexW1984744353WikidataQ58645908 ScholiaQ58645908MaRDI QIDQ1009401

Angelos Dassios, Ji-Wook Jang

Publication date: 1 April 2009

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/55294

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Renewal theory (60K05)

Related Items (3)

Conditional, non-homogeneous and doubly stochastic compound Poisson processes with stochastic discounted claims ⋮ Log-Gaussian Cox processes in infinite-dimensional spaces ⋮ Estimating doubly stochastic Poisson process with affine intensities by Kalman filter

Cites Work

• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Explosive Poisson shot noise processes with applications to risk reserves
• The virtual waiting-time and related processes
• Martingales and insurance risk
• Conditional Poisson processes

This page was built for publication: The distribution of the interval between events of a Cox process with shot noise intensity