On the sample path properties of mixed Poisson processes

DOI10.1016/j.orl.2017.10.015OpenAlexW2765439609MaRDI QIDQ2417037

Xianhua Peng, Miaoqi Fu

Publication date: 11 June 2019

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2017.10.015

zbMATH Keywords

credit riskmethod of momentssample autocovariancemixed Poisson processsample autocorrelationPólya-Lundberg process

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Uses Software

• CreditRisk+

Cites Work

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• Importance Sampling for Portfolio Credit Risk
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• On mixed poisson processes and martingales
• A new characterisation property of mixed Poisson processes via Berman's theorem
• A martingale characterization of Pólya-Lundberg processes