A bivariate shot noise self-exciting process for insurance
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Publication:2015619
DOI10.1016/J.INSMATHECO.2013.08.003zbMath1290.60055OpenAlexW2041737033MaRDI QIDQ2015619
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
Hawkes processpiecewise deterministic Markov processinsurance premiumbivariate shot noise self-exciting processmartingale methodology
Continuous-time Markov processes on general state spaces (60J25) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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Uses Software
Cites Work
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