Backward simulation of multivariate mixed Poisson processes

DOI10.1080/00949655.2021.1943387OpenAlexW3190736600MaRDI QIDQ3390358

Michael Chiu, Alexander Kreinin, Kenneth R. Jackson

Publication date: 24 March 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.07976

zbMATH Keywords

order statistic propertybackward simulationextreme joint distributionmultivariate mixed Poisson processes

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Bivariate distributions with given marginals
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
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• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• Financial Modelling with Jump Processes
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• Operational Risk
• Negative binomial processes
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