A bivariate shot noise self-exciting process for insurance

DOI10.1016/J.INSMATHECO.2013.08.003zbMath1290.60055OpenAlexW2041737033MaRDI QIDQ2015619

Ji-Wook Jang, Angelos Dassios

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.08.003

zbMATH Keywords

Hawkes processpiecewise deterministic Markov processinsurance premiumbivariate shot noise self-exciting processmartingale methodology

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (7)

Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors ⋮ Constant proportion portfolio insurance strategies in contagious markets ⋮ Hawkes processes in insurance: risk model, application to empirical data and optimal investment ⋮ Moment generating function of non-Markov self-excited claims processes ⋮ An expansion formula for Hawkes processes and application to cyber-insurance derivatives ⋮ Infinitely stochastic micro reserving ⋮ Household lifetime strategies under a self-contagious market

Uses Software

• QRM

Cites Work

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