The Compound Poisson process
A Compound Poisson Process for Relaxing the Molecular Clock
... The compound Poisson process for relaxing the mo- The molecular clock hypothesis of equal rates across lecular clock should prove practically useful for several lineages could be rejected for the ...
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Estimation of the Jump Size Density in a Mixed Compound Poisson Process
... ESTIMATION OF THE JUMP SIZE DENSITY IN A MIXED COMPOUND POISSON PROCESS. F. COMTE 1 , C. DUVAL 1 , V. GENON-CATALOT 1 , AND J. KAPPUS 2 Abstract. In this paper, we consider a mixed compound ...
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Nonparametric estimation for compound Poisson process via variational analysis on measures
... Received: 2 February 2016 / Accepted: 17 April 2017 / Published online: 19 April 2017 © The Author(s) 2017. This article is an open access publication Abstract The paper develops new methods of nonpara- metric estimation ...
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Stochastic interest model driven by compound Poisson process and Brownian motion with applications in life contingencies
... 5. Conclusions In this paper, we introduce a new stochastic interest model in which the force of interest is expressed by a compound Poisson process and a Brownian motion. The advantage of this model ...
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Estimation of the jump size density in a mixed compound Poisson process
... mixed compound process Y (t) = P N(Λt) i=1 ξ i where N is a Poisson process with intensity 1, Λ a positive random variable, (ξ i ) a sequence of ...
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On the moment characteristics for the univariate compound poisson and bivariate compound poisson processes with applications
... bivariate compound Poisson process (CPP and BCPP, respectively) ensure a better description than the homogeneous Poisson pro- cess for clustering of ...
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Multivariate fractional Poisson processes and compound sums
... In this section we study the multivariate fractional version of well-known counting processes which can be obtained as a particular multivariate space-time fractional compound Poisson process {C η,ν ...
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Compound Poisson point processes, concentration and oracle inequalities
... discrete compound Poisson point processes ...a compound Poisson process, see Wang and Ji [35] and the references ...discrete compound Poisson point process with ...
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The disorder problem for compound Poisson processes with exponential jumps
... probability process, we find an optimal stopping boundary in some particular cases of the Bayesian ...a compound Poisson process with exponential jumps, where we can observe the breakdown of ...
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Randomized observation periods for the compound Poisson risk model: Dividends
... classical compound Poisson process in collective risk theory, we study a modification of the horizontal dividend barrier strategy by introducing random observation times at which dividends can be paid ...
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Dividend Payments with a Hybrid Strategy in the Compound Poisson Risk Model
... Abstract In this paper, a hybrid dividend strategy in the compound Poisson risk model is considered. In the absence of dividends, the surplus of an insurance company is modelled by a compound ...
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Efficient nonparametric inference for discretely observed compound Poisson processes
... Note that λ∆ represents the expected number of jumps the compound Poisson process has given in a ∆-observation-interval, so this condition is quite restrictive in practice. Further- more, and as ...
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Efficient nonparametric inference for discretely observed compound Poisson processes
... the compound Poisson process up to time T ...limiting process is of Brownian motion type due to the stochasticity N b n carries through the lack of knowledge of ...evy process and ...
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A lost sales inventory model with a compound poisson demand pattern.
... a compound Poisson process: more specifically, we assume that the number of customer visits to the store during a time interval [0, T ] is Poisson distributed with average λT ...
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Randomized Observation Periods for the Compound Poisson Risk Model: Dividends
... classical compound Poisson process in collective risk theory, we study a modifi cation of the horizontal dividend barrier strategy by introducing random observation times at which dividends can be ...
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From ruin to bankruptcy for compound Poisson surplus processes
... for Compound Poisson Surplus Processes Hansjörg Albrecher ∗ Volkmar Lautscham † ...surplus process C t is calculated as the probability of the process becoming negative at some point in ...the ...
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Comparison of Ruin Probabilities in Compound Poisson Risk Model
... the process is simulated up to time τ and the result of the i-th simulation run Z i is set to 1 if ruin occurs at or before time τ and to 0 if this is not the ...
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Exchangeable Claims Sizes in a Compound Poisson Type Proces
... If we look at the Kendall’s tau measures reported in table 4 we can see that they are similar in both ECP models, 0.036 for the parametric and 0.03 for the nonparametric. These values suggest that the dependence among ...
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Optimal Dividend Problem for a Compound Poisson Risk Model
... surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting process is a generalized Poisson ...
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Claims Reserving Using Tweedie's Compound Poisson Model
... The results in Table 6.6 show that there is considerable uncertainty in the reserve estimates, especially in the old years where the outstanding payments are small. This comes from the fact that we have only little ...
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