Moments of renewal shot-noise processes and their applications
Year of publication: |
August-December 2018
|
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Authors: | Jang, Jiwook ; Dassios, Angelos ; Zhao, Hongbiao |
Published in: |
Scandinavian actuarial journal. - Basingstoke : Taylor & Francis, ISSN 0346-1238, ZDB-ID 186753-2. - 2018, 8, p. 727-752
|
Subject: | Renewal shot-noise processes | discounted aggregate claims | actuarial net premium | piecewise-deterministic Markov processes | martingale method | Monte Carlo exact simulation | credit risk | reliability | Theorie | Theory | Markov-Kette | Markov chain | Kreditrisiko | Credit risk | Monte-Carlo-Simulation | Monte Carlo simulation | Simulation | Martingal | Martingale | Versicherungsmathematik | Actuarial mathematics | Statistische Verteilung | Statistical distribution | Wahrscheinlichkeitsrechnung | Probability theory |
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