Poisson-Gamma mixture processes and applications to premium calculation

DOI10.1080/03610926.2020.1850791OpenAlexW3110331187MaRDI QIDQ5095984

Shujin Wu

Publication date: 12 August 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1850791

zbMATH Keywords

Poisson processmixture modelgamma processpremium calculation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability theory for smooth dynamical systems (37C75)

Uses Software

• Python
• CreditRisk+

Cites Work

• Unnamed Item
• Unnamed Item
• The minimum \(L_{2}\) distance estimator for Poisson mixture models
• A Poisson mixture model of discrete choice
• Translated Poisson mixture model for stratification learning
• On the distribution of cumulative Parisian ruin
• An IBNR-RBNS insurance risk model with marked Poisson arrivals
• Minimizing the probability of ruin: optimal per-loss reinsurance
• CreditRisk\(^+\) in the banking industry.
• Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
• On Population Size Estimators in the Poisson Mixture Model
• Estimating linear functionals in Poisson mixture models
• Inference on the Number of Species Through Geometric Lower Bounds
• Testing distribution in deconvolution problems
• Bayesian Analysis of Two Overdispersed Poisson Models
• A Poisson model for the coverage problem with a genomic application
• Credit-Risk Modelling
• The one‐inflated positive Poisson mixture model for use in population size estimation
• Stochastic convexity of the Poisson mixture model

This page was built for publication: Poisson-Gamma mixture processes and applications to premium calculation