Results 21 to 30 of about 67,644 (292)
Statistical arbitrage in jump-diffusion models with compound Poisson processes [PDF]
Annals of Operations Research, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Erdinc Akyildirim +3 more
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Compound Poisson models for weighted networks with applications in finance [PDF]
Mathematics and Financial Economics, 2020 AbstractWe develop a modelling framework for estimating and predicting weighted network data. The edge weights in weighted networks often arise from aggregating some individual relationships between the nodes. Motivated by this, we introduce a modelling framework for weighted networks based on the compound Poisson distribution.
Axel Gandy, Luitgard A. M. Veraart
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Quasi maximum likelihood estimation and prediction in the compound Poisson ECOGARCH(1,1) model [PDF]
, 2006 This paper deals with the problem of estimation and prediction in a compound Poisson ECOGARCH(1,1) model. For this we construct a quasi maximum likelihood estimator under the assumption that all jumps of the log-price process are observable.
Czado, Claudia, Haug, Stephan
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Estimating the COGARCH(1,1) model - a first go [PDF]
, 2005 We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on equally spaced observations. Using the fact that the increments of the COGARCH(1,1) process are ergodic, the resulting estimators are consistent.
Haug, Stephan +3 more
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The Modelling of a Cure Fraction in Bivariate Time-to-Event Data
Austrian Journal of Statistics, 2016 Three correlated frailty models are used to analyze bivariate timeto- event data by assuming gamma, log-normal and compound Poisson distributed frailty. All approaches allow to deal with right censored lifetime data and account for heterogeneity as well ...
Andreas Wienke +2 more
doaj +1 more source
On a Bivariate Poisson Negative Binomial Risk Process
Biomath, 2014 In this paper we define a bivariate counting process as a compound Poisson process with bivariate negative binomial compounding distribution. We investigate some of its basic properties, recursion formulas and probability mass function.
Krasimira Kostadinova, Leda Minkova
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Statistical Properties and Different Estimation Procedures of Poisson–Lindley Distribution
Journal of Statistical Theory and Applications (JSTA), 2021 In this paper, we propose a new class of distributions by compounding Lindley distributed random variates with the number of variates being zero-truncated Poisson distribution.
Mohammed Amine Meraou, Mohammad Z. Raqab
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A Stochastic String with a Compound Poisson Process
Abstract and Applied Analysis, 2013 We investigate a compound Poisson infinite factor diffusion model which describes the relationship between the infinite-dimension random risk resource and the corresponding stochastic process.
Sheng Fan
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Non-Parametric Threshold Estimation for the Wiener–Poisson Risk Model
Mathematics, 2019 In this paper, we consider the Wiener−Poisson risk model, which consists of a Wiener process and a compound Poisson process. Given the discrete record of observations, we use a threshold method and a regularized Laplace inversion technique to ...
Honglong You, Yuan Gao
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On a Periodic Capital Injection and Barrier Dividend Strategy in the Compound Poisson Risk Model
Mathematics, 2020 In this paper, we assume that the reserve level of an insurance company can only be observed at discrete time points, then a new risk model is proposed by introducing a periodic capital injection strategy and a barrier dividend strategy into the ...
Wenguang Yu +8 more
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