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The Distribution of the Interval between Events of a Cox Process with Shot Noise Intensity
Joint Authors
Source
Journal of Applied Mathematics and Stochastic Analysis
Issue
Vol. 2008, Issue 2008 (31 Dec. 2008), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2008-11-25
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
Applying piecewise deterministic Markov processes theory, the probability generating function of a Cox process, incorporating with shot noise process as the claim intensity, is obtained.
We also derive the Laplace transform of the distribution of the shot noise process at claim jump times, using stationary assumption of the shot noise process at any times.
Based on this Laplace transform and from the probability generating function of a Cox process with shot noise intensity, we obtain the distribution of the interval of a Cox process with shot noise intensity for insurance claims and its moments, that is, mean and variance.
American Psychological Association (APA)
Dassios, Angelos& Jang, Jiwook. 2008. The Distribution of the Interval between Events of a Cox Process with Shot Noise Intensity. Journal of Applied Mathematics and Stochastic Analysis،Vol. 2008, no. 2008, pp.1-14.
https://search.emarefa.net/detail/BIM-466327
Modern Language Association (MLA)
Dassios, Angelos& Jang, Jiwook. The Distribution of the Interval between Events of a Cox Process with Shot Noise Intensity. Journal of Applied Mathematics and Stochastic Analysis No. 2008 (2008), pp.1-14.
https://search.emarefa.net/detail/BIM-466327
American Medical Association (AMA)
Dassios, Angelos& Jang, Jiwook. The Distribution of the Interval between Events of a Cox Process with Shot Noise Intensity. Journal of Applied Mathematics and Stochastic Analysis. 2008. Vol. 2008, no. 2008, pp.1-14.
https://search.emarefa.net/detail/BIM-466327
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-466327