We introduce and study a generic non-linear Shot Noise system-model. Shots of random magnitudes arrive to the system stochastically, following an arbitrary time-homogeneous Poisson point process. After ‘hitting’ the system, the magnitude of an arriving shot decays to zero. The decay is...

We value CDS spreads and kth-to-default swap spreads in a tractable shot noise model. The default dependence is modelled by letting the individual jumps of the default intensity be driven by a common latent factor. The arrival of the jumps is driven by a Poisson process. By using conditional...

In this paper, we consider the classical surplus process with interest and a constant dividend barrier. Under constant interest, we derive an integro-differential equation for the Gerber-Shiu expected discounted penalty function. Following an idea of Lin, Willmot and Drekic [Lin, X.S., Willmot,...