Moments of renewal shot-noise processes and their applications

DOI10.1080/03461238.2018.1452285zbMath1418.91243OpenAlexW2789339966WikidataQ130115608 ScholiaQ130115608MaRDI QIDQ4562034

Hongbiao Zhao, Angelos Dassios, Ji-Wook Jang

Publication date: 14 December 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/87428/

zbMATH Keywords

reliabilitycredit riskmartingale methodpiecewise-deterministic Markov processesdiscounted aggregate claimsMonte Carlo exact simulationactuarial net premiumrenewal shot-noise processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)

Related Items (3)

Moment generating function of non-Markov self-excited claims processes ⋮ A Cox model for gradually disappearing events ⋮ Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach

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