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2018
This chapter reviews the basic facts about the simulation and inference for compound Poisson processes. Univariate and multivariate models are considered in full details. Full R code for completing the above analyses with yuima package is provided.
Stefano M. Iacus, Nakahiro Yoshida
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This chapter reviews the basic facts about the simulation and inference for compound Poisson processes. Univariate and multivariate models are considered in full details. Full R code for completing the above analyses with yuima package is provided.
Stefano M. Iacus, Nakahiro Yoshida
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1984
(a) Definitions Consideration is now extended from the claim number processes to processes which operate the claim amounts, concerning both the individual claims and their sums, the aggregate claims. A primary building block is the randomly varying size Z of an individual claim, i.e.
Robert Eric Beard +2 more
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(a) Definitions Consideration is now extended from the claim number processes to processes which operate the claim amounts, concerning both the individual claims and their sums, the aggregate claims. A primary building block is the randomly varying size Z of an individual claim, i.e.
Robert Eric Beard +2 more
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Optimization methods for compound poisson risk processes
Cybernetics and Systems Analysis, 1998zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lyubchenko, G. I., Nakonechnyi, A. N.
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Point processes subordinated to compound Poisson processes
Theory of Probability and Mathematical Statistics, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kobylych, K. V., Sakhno, L. M.
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A surplus process involving a compound Poisson counting process and applications
Communications in Statistics - Theory and Methods, 2020In this paper, we introduce a surplus process involving a compound Poisson counting process, which is a generalization of the classical ruin model where the claim-counting process is a homogeneous Poisson process.
Yuying Li, Kristina P. Sendova
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On definition of compound poisson processes
Scandinavian Actuarial Journal, 1968Abstract Some authors define the (elementary) compound Poisson process in wide sense {χ t , 0 ⩽ t < ∞} with help of probability distributions where τ is a so-called operational time, a continuous non-decreasing function of t vanishing for t = 0, and V(q, t) is a non-negative distribution function for every t.
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Poisson processes and compound Poisson processes in insurance management [PDF]
Interdisciplinary Management Research, 2010 Some assumptions with respect to the number and the amount of damages are introduced in the paper. It will be assumed that the average of the number of damages is a Poisson process, which leads to a compound Poisson process for the total damages.
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Compound Poisson Processes with Two-Sided Reflection
Ukrainian Mathematical Journal, 2002The author deals with a compound oscillating Poisson process with two-sided reflection. This process is given by an upper semi-continuous compound Poisson process \(\xi(t)\) and its functionals: time of the first exit of \(\xi(t)\) from an interval and times of the first exits of \(\xi(t)\) from the upper and the lower levels.
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Compound Poisson Process and Its Applications in Business
, 2020P. Chakrabarti +5 more
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Limit Behavior of a Compound Poisson Process with Switching
, 2020A. Borodin
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