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Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1043702
Description: In this paper we generalise the risk models beyond the ordinary framework of affine processes or Markov processes and study a risk process where the claim arrivals are driven by a Cox process with ren ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/230676
Description: In this paper, we study a bivariate shot noise self-exciting process. This process includes both externally excited joint jumps, which are distributed according to a shot noise Cox process, and two se ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/182467
Description: The authors consider a compound Cox model of insurance risk with the additional economic assumption of a positive interest rate. As the authors note a duality result relating a compound Cox model of i ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/210488
Description: Applying the piecewise derteministic processes theory, the probability generating function of a Cox process, incorporating with shot noise process as the claim intensity, is obtained. We also derive t ... More
Reviewed: Reviewed
Date: 2005
Subject Keyword: 010400 Statistics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1133503
Description: 15 page(s)
Reviewed: Reviewed
Date: 2003
Subject Keyword: 010400 Statistics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1133559
Description: 23 page(s)
Reviewed: Reviewed
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