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Moments of renewal shot-noise processes and their applications

Jang, Jiwook; Dassios, Angelos; Zhao, Hongbiao - In: Scandinavian actuarial journal (2018) 8, pp. 727-752

Persistent link: https://www.econbiz.de/10011939737

Dassios, Angelos; Zhao, Hongbiao - In: Risks : open access journal 2 (2014) 4, pp. 434-455

We introduce a bivariate Markov chain counting process with contagion for modelling the clustering arrival of loss claims with delayed settlement for an insurance company. It is a general continuous-time model framework that also has the potential to be applicable to modelling the clustering...

Persistent link: https://www.econbiz.de/10010489070

A Markov Chain Model for Contagion

Dassios, Angelos - 2014

Persistent link: https://www.econbiz.de/10013044536

Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity

Dassios, Angelos; Jang, Ji-Wook - In: Finance and stochastics 7 (2003) 1, pp. 73-95

Persistent link: https://www.econbiz.de/10001724642

Perturbed Brownian motion and its application to Parisian option pricing

Dassios, Angelos; Wu, Shanle - In: Finance and stochastics 14 (2010) 3, pp. 473-494

Persistent link: https://www.econbiz.de/10009533860

A bivariate shot noise self-exciting process for insurance

Jang, Jiwook; Dassios, Angelos - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 524-532

Persistent link: https://www.econbiz.de/10010227969

Stochastic control with inhomogeneous regime switching : application to consumption and investment with unemployment and reemployment

Tao, Cheng; Rong, Ximin; Zhao, Hui - In: Journal of mathematical economics 107 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014366223