Results 41 to 50 of about 568,969 (316)

The compound Poisson limit ruling periodic extreme behaviour of non-uniformly hyperbolic dynamics [PDF]

, 2012
We prove that the distributional limit of the normalised number of returns to small neighbourhoods of periodic points of non-uniformly hyperbolic dynamical systems is compound Poisson.
A. Ferguson, A. Galves, A.C.M. Freitas, A.C.M. Freitas, A.C.M. Freitas, A.C.M. Freitas, A.C.M. Freitas, Ana Cristina Moreira Freitas, B. Pitskel’, B. Saussol, C. Gupta, D. Faranda, D. Faranda, D. Faranda, F. Hofbauer, F. Ledrappier, G. Keller, H. Bruin, H. Bruin, H. Bruin, J.-R. Chazottes, J.F. Alves, Jorge Milhazes Freitas, M. Benedicks, M. Benedicks, M. Hirata, M. Hirata, M. Holland, M. Rychlik, M.P. Holland, M.R. Leadbetter, M.R. Leadbetter, M.V. Jakobson, Mike Todd, N. Haydn, N. Haydn, N. Haydn, P. Collet, P. Collet, R. Vitolo, T. Nowicki, V. Chaumoître, V. Lucarini   +42 more
core   +3 more sources

Variance Gamma (nonlocal) equations

Modern Stochastics: Theory and Applications, 2023
Some equations are provided for the Variance Gamma process using the definition other than that based on a time-changed Brownian motion. A new nonlocal equation is obtained involving generalized Weyl derivatives, which is true even in the drifted case ...
Fausto Colantoni
doaj   +1 more source

Ruin probability under compound Poisson models with random discount factor [PDF]

, 2004
In this article, we consider a compound Poisson insurance risk model with a random discount factor. This model is also known as the compound filtered Poisson model.
Ng, KW, Yang, H, Zhang, L
core   +1 more source

A Study on the Estimator Distribution for the Expected Value of a Compound Periodic Poisson Process with Power Function Trend

InPrime, 2022
This article discusses the estimation for the expected value, also called the mean function, of a compound periodic Poisson process with a power function trend. The aims of our study are, first, to modify the existing estimator to produce a new estimator
Nurul Indah Safitri, I Wayan Mangku, Hadi Sumarno   +2 more
doaj   +1 more source

Stochastic Interest Model Based on Compound Poisson Process and Applications in Actuarial Science

, 2017
Considering stochastic behavior of interest rates in financial market, we construct a new class of interest models based on compound Poisson process. Different from the references, this paper describes the randomness of interest rates by modeling the ...
Shilong Li, C. Yin, Xia Zhao, Hongshuai Dai   +3 more
semanticscholar   +1 more source

Implementasi Penggunaan Generalisasi Thinning Process pada Penduga Fungsi Ragam Proses Poisson Periodik Majemuk

Jambura Journal of Mathematics
This article implements the thinning process algorithm, which has been generalized for estimators of compound periodic Poisson processes. The use of generalizations in the algorithm has been prepared with a linear trend in the periodic elements.
Syarif Abdullah, I Wayan Mangku, Himmatul Mursyidah, Mifathul Huda, Fajri Ikhsan, Sri Istiyarti Uswatun Chasanah   +5 more
doaj   +1 more source

Optimal Layer Reinsurance for Compound Fractional Poisson Model

Discrete Dynamics in Nature and Society, 2019
In this paper, we study the optimal retentions for an insurer with a compound fractional Poisson surplus and a layer reinsurance treaty. Under the criterion of maximizing the adjustment coefficient, the closed form expressions of the optimal results are ...
Jiesong Zhang
doaj   +1 more source

Limit theory for the Gilbert graph [PDF]

, 2016
For a given homogeneous Poisson point process in $\mathbb{R}^d$ two points are connected by an edge if their distance is bounded by a prescribed distance parameter. The behaviour of the resulting random graph, the Gilbert graph or random geometric graph,
Reitzner, Matthias, Schulte, Matthias, Thaele, Christoph   +2 more
core   +2 more sources

The local principle of large deviations for compound Poisson process with catastrophes

, 2018
The continuous time Markov process considered in this paper belongs to a class of population models with linear growth and catastrophes. There, the catastrophes happen at the arrival times of a Poisson process, and at each catastrophe time, a randomly ...
A. Logachov, O. Logachova, A. Yambartsev
semanticscholar   +1 more source

ASYMPTOTIC DISTRIBUTIONS OF ESTIMATORS FOR THE MEAN AND THE VARIANCE OF A COMPOUND CYCLIC POISSON PROCESS

Barekeng
A stochastic process has an important role in modeling various real phenomena. One special form of the stochastic process is a compound Poisson process.
Ika Reskiana Adriani, I Wayan Mangku, Retno Budiarti   +2 more
doaj   +1 more source