The distribution of the interval between events of a Cox process with shot noise intensity

Angelos Dassios and Jiwook Jang

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: 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.

JEL-codes: C1 (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in Journal of Applied Mathematics and Stochastic Analysis, 2008, 2008, pp. 1-14. ISSN: 1048-9533

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