We introduce a new point process, the dynamic contagion process, by gener- alising the Hawkes process and the Cox process with shot noise intensity. Our process includes both self-excited and externally excited jumps, which could be used to model the dynamic contagion impact from endogenous and...

We introduce a new point process, the dynamic contagion process, by generalising the self excited Hawkes process (with exponential decay) by Hawkes (1971) and the Cox process with shot noise intensity by Dassios and Jang (2003). Our process includes both self excited and externally excited...

In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the...

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...

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...

We introduce a new point process, the dynamic contagion process, by generalising the Hawkes process and the Cox process with shot noise intensity. Our process includes both self-excited and externally excited jumps, which could be used to model the dynamic contagion impact from endogenous and...

We introduce a class of analytically tractable jump processes with contagion effects by generalising the classical Hawkes process. This model framework combines the characteristics of three popular point processes in the literature: (1) Cox process with CIR intensity; (2) Cox process with...