Poisson Processes and Ruin Theory

Monique Jeanblanc (), Marc Yor and Marc Chesney
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Monique Jeanblanc: Université d’Evry
Marc Yor: Université Paris VI
Marc Chesney: Universität Zürich

Chapter 8 in Mathematical Methods for Financial Markets, 2009, pp 457-508 from Springer

Abstract: Abstract We give in this chapter the main results on Poisson processes, which are basic examples of jump processes. Despite their elementary properties they are building blocks of jump process theory. We present various generalizations such as inhomogeneous Poisson processes and compound Poisson processes. We end this chapter with two sections about point processes and marked point processes.

Keywords: Poisson Process; Point Process; Counting Process; Poisson Point Process; Local Martingale (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/978-1-84628-737-4_8

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