Hainaut, Donatien Multivariate claim processes with rough intensities: properties and estimation. (English) Zbl 07648744 Insur. Math. Econ. 107, 269-287 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{D. Hainaut}, Insur. Math. Econ. 107, 269--287 (2022; Zbl 07648744) Full Text: DOI OpenURL
Shi, Jim Optimal continuous production-inventory systems subject to stockout risk. (English) Zbl 1501.90008 Ann. Oper. Res. 317, No. 2, 777-804 (2022). MSC: 90B05 90B30 PDF BibTeX XML Cite \textit{J. Shi}, Ann. Oper. Res. 317, No. 2, 777--804 (2022; Zbl 1501.90008) Full Text: DOI OpenURL
Boxma, Onno; Perry, David; Stadje, Wolfgang; Zacks, Shelley A compound Poisson EOQ model for perishable items with intermittent high and low demand periods. (English) Zbl 1501.90001 Ann. Oper. Res. 317, No. 2, 439-459 (2022). MSC: 90B05 PDF BibTeX XML Cite \textit{O. Boxma} et al., Ann. Oper. Res. 317, No. 2, 439--459 (2022; Zbl 1501.90001) Full Text: DOI OpenURL
Rahmati, Maryam; Rezanejad Asl, Parisa; Mikaeli, Javad; Zeraati, Hojjat; Rasekhi, Aliakbar Compound Poisson frailty model with a gamma process prior for the baseline hazard: accounting for a cured fraction. (English) Zbl 07611107 J. Appl. Stat. 49, No. 13, 3377-3391 (2022). MSC: 62Pxx PDF BibTeX XML Cite \textit{M. Rahmati} et al., J. Appl. Stat. 49, No. 13, 3377--3391 (2022; Zbl 07611107) Full Text: DOI OpenURL
Zhou, Hong-Bing; Liang, Han-Ying Change point estimation in regression model with response missing at random. (English) Zbl 07585040 Commun. Stat., Theory Methods 51, No. 20, 7101-7119 (2022). MSC: 62G08 62N02 PDF BibTeX XML Cite \textit{H.-B. Zhou} and \textit{H.-Y. Liang}, Commun. Stat., Theory Methods 51, No. 20, 7101--7119 (2022; Zbl 07585040) Full Text: DOI OpenURL
Kim, Hyunjung; Kim, Eungab A hybrid manufacturing system with demand for intermediate goods and controllable make-to-stock production rate. (English) Zbl 07567030 Eur. J. Oper. Res. 303, No. 3, 1244-1257 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{H. Kim} and \textit{E. Kim}, Eur. J. Oper. Res. 303, No. 3, 1244--1257 (2022; Zbl 07567030) Full Text: DOI OpenURL
Cui, Lirong; Wu, Bei; Yin, Juan Moments for Hawkes processes with gamma decay kernel functions. (English) Zbl 1491.60068 Methodol. Comput. Appl. Probab. 24, No. 3, 1565-1601 (2022). MSC: 60G55 91G40 PDF BibTeX XML Cite \textit{L. Cui} et al., Methodol. Comput. Appl. Probab. 24, No. 3, 1565--1601 (2022; Zbl 1491.60068) Full Text: DOI OpenURL
Gankhuu, Battulga; Kleinow, Jacob; Lkhamsuren, Altangerel; Horsch, Andreas Dividends and compound Poisson processes: a new stochastic stock price model. (English) Zbl 1496.91099 Int. J. Theor. Appl. Finance 25, No. 3, Article ID 2250014, 36 p. (2022). MSC: 91G50 60G55 PDF BibTeX XML Cite \textit{B. Gankhuu} et al., Int. J. Theor. Appl. Finance 25, No. 3, Article ID 2250014, 36 p. (2022; Zbl 1496.91099) Full Text: DOI OpenURL
Akyildirim, Erdinc; Fabozzi, Frank J.; Goncu, Ahmet; Sensoy, Ahmet Statistical arbitrage in jump-diffusion models with compound Poisson processes. (English) Zbl 1494.91166 Ann. Oper. Res. 313, No. 2, 1357-1371 (2022). MSC: 91G30 60J74 60G55 PDF BibTeX XML Cite \textit{E. Akyildirim} et al., Ann. Oper. Res. 313, No. 2, 1357--1371 (2022; Zbl 1494.91166) Full Text: DOI Link OpenURL
Kaleta, Kamil; Ponikowski, Daniel On directional convolution equivalent densities. (English) Zbl 1498.60058 Electron. J. Probab. 27, Paper No. 65, 19 p. (2022). MSC: 60E05 26B99 60G50 60G51 62H05 PDF BibTeX XML Cite \textit{K. Kaleta} and \textit{D. Ponikowski}, Electron. J. Probab. 27, Paper No. 65, 19 p. (2022; Zbl 1498.60058) Full Text: DOI arXiv OpenURL
Cheng, Conghua Empirical likelihood ratio for two-sample compound Poisson processes under infinite second moment. (English) Zbl 07533659 Commun. Stat., Theory Methods 51, No. 11, 3787-3798 (2022). MSC: 62G20 62-XX PDF BibTeX XML Cite \textit{C. Cheng}, Commun. Stat., Theory Methods 51, No. 11, 3787--3798 (2022; Zbl 07533659) Full Text: DOI OpenURL
Jurek, Z. J. Background driving distribution functions and series representations for log-gamma self-decomposable random variables. (English) Zbl 1492.60042 Theory Probab. Appl. 67, No. 1, 105-117 (2022) and Teor. Veroyatn. Primen. 67, No. 1, 134-149 (2022). MSC: 60E07 60E05 60G51 PDF BibTeX XML Cite \textit{Z. J. Jurek}, Theory Probab. Appl. 67, No. 1, 105--117 (2022; Zbl 1492.60042) Full Text: DOI arXiv OpenURL
Li, Yin; Mao, Xuerong; Song, Yazhi; Tao, Jian Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition. (English) Zbl 1499.90094 J. Ind. Manag. Optim. 18, No. 1, 75-93 (2022). MSC: 90B50 93E20 91G80 62P05 PDF BibTeX XML Cite \textit{Y. Li} et al., J. Ind. Manag. Optim. 18, No. 1, 75--93 (2022; Zbl 1499.90094) Full Text: DOI OpenURL
Kondratiev, Yuri; Mishura, Yuliya; da Silva, José L. Perpetual integral functionals of multidimensional stochastic processes. (English) Zbl 1492.60221 Stochastics 93, No. 8, 1249-1260 (2021). MSC: 60J25 60J65 60G22 47A30 PDF BibTeX XML Cite \textit{Y. Kondratiev} et al., Stochastics 93, No. 8, 1249--1260 (2021; Zbl 1492.60221) Full Text: DOI arXiv OpenURL
Ali, Sajid Monitoring time and magnitude based on the renewal reward process with a random failure threshold. (English) Zbl 07482714 J. Appl. Stat. 48, No. 2, 247-284 (2021). MSC: 62Pxx PDF BibTeX XML Cite \textit{S. Ali}, J. Appl. Stat. 48, No. 2, 247--284 (2021; Zbl 07482714) Full Text: DOI OpenURL
Ai, The Jin; Astanti, Ririn Diar; Luong, Huynh Trung A periodic review decision model for an inventory system with two demand types. (English) Zbl 1486.90006 Int. J. Math. Oper. Res. 20, No. 3, 402-417 (2021). MSC: 90B05 PDF BibTeX XML Cite \textit{T. J. Ai} et al., Int. J. Math. Oper. Res. 20, No. 3, 402--417 (2021; Zbl 1486.90006) Full Text: DOI OpenURL
Behme, Anita; Strietzel, Philipp Lukas A \(2\times 2\) random switching model and its dual risk model. (English) Zbl 1483.90043 Queueing Syst. 99, No. 1-2, 27-64 (2021). MSC: 90B22 60K30 60K10 PDF BibTeX XML Cite \textit{A. Behme} and \textit{P. L. Strietzel}, Queueing Syst. 99, No. 1--2, 27--64 (2021; Zbl 1483.90043) Full Text: DOI arXiv OpenURL
Bouzas, Paula R.; Ruiz-Fuentes, Nuria; Montes-Gijón, Carmen; Ruiz-Castro, Juan Eloy Forecasting counting and time statistics of compound Cox processes: a focus on intensity phase type process, deletions and simultaneous events. (English) Zbl 1477.60066 Stat. Pap. 62, No. 1, 235-265 (2021). MSC: 60G25 60G55 62M20 62N05 62H25 PDF BibTeX XML Cite \textit{P. R. Bouzas} et al., Stat. Pap. 62, No. 1, 235--265 (2021; Zbl 1477.60066) Full Text: DOI Link OpenURL
Hainaut, Donatien Moment generating function of non-Markov self-excited claims processes. (English) Zbl 1475.91304 Insur. Math. Econ. 101, 406-424 (2021). MSC: 91G05 60G55 PDF BibTeX XML Cite \textit{D. Hainaut}, Insur. Math. Econ. 101, 406--424 (2021; Zbl 1475.91304) Full Text: DOI OpenURL
Swishchuk, Anatoliy; Zagst, Rudi; Zeller, Gabriela Hawkes processes in insurance: risk model, application to empirical data and optimal investment. (English) Zbl 1475.91317 Insur. Math. Econ. 101, 107-124 (2021). MSC: 91G05 60G55 PDF BibTeX XML Cite \textit{A. Swishchuk} et al., Insur. Math. Econ. 101, 107--124 (2021; Zbl 1475.91317) Full Text: DOI OpenURL
Borodin, A. N. Limit behavior of a compound Poisson process with switching between multiple values. (English. Russian original) Zbl 1478.60146 J. Math. Sci., New York 258, No. 6, 764-776 (2021); translation from Zap. Nauchn. Semin. POMI 486, 44-62 (2019). Reviewer: Edward Omey (Brussel) MSC: 60G55 60E10 60G51 60J25 60J65 PDF BibTeX XML Cite \textit{A. N. Borodin}, J. Math. Sci., New York 258, No. 6, 764--776 (2021; Zbl 1478.60146); translation from Zap. Nauchn. Semin. POMI 486, 44--62 (2019) Full Text: DOI OpenURL
Yakubovich, Yuri A simple proof of the Lévy-Khintchine formula for subordinators. (English) Zbl 1482.60063 Stat. Probab. Lett. 176, Article ID 109136, 5 p. (2021). MSC: 60G51 PDF BibTeX XML Cite \textit{Y. Yakubovich}, Stat. Probab. Lett. 176, Article ID 109136, 5 p. (2021; Zbl 1482.60063) Full Text: DOI arXiv OpenURL
Lyberopoulos, Demetrios P.; Macheras, Nikolaos D. A characterization of martingale-equivalent mixed compound Poisson processes. (English) Zbl 1476.91036 Ann. Appl. Probab. 31, No. 2, 778-805 (2021). MSC: 91B05 60G44 60G51 60G55 PDF BibTeX XML Cite \textit{D. P. Lyberopoulos} and \textit{N. D. Macheras}, Ann. Appl. Probab. 31, No. 2, 778--805 (2021; Zbl 1476.91036) Full Text: DOI arXiv Link OpenURL
Tao, Xiuli; Shen, Zhaohui On the first passage time density for a class of compound Poisson process. (Chinese. English summary) Zbl 1488.60131 J. Wuhan Univ., Nat. Sci. Ed. 67, No. 3, 256-262 (2021). MSC: 60G55 60J76 PDF BibTeX XML Cite \textit{X. Tao} and \textit{Z. Shen}, J. Wuhan Univ., Nat. Sci. Ed. 67, No. 3, 256--262 (2021; Zbl 1488.60131) Full Text: DOI OpenURL
Yang, Fan Rare event process and entry times distribution for arbitrary null sets on compact manifolds. (English. French summary) Zbl 1477.37009 Ann. Inst. Henri Poincaré, Probab. Stat. 57, No. 2, 1103-1135 (2021). MSC: 37A50 37A25 37D25 60B10 60G70 PDF BibTeX XML Cite \textit{F. Yang}, Ann. Inst. Henri Poincaré, Probab. Stat. 57, No. 2, 1103--1135 (2021; Zbl 1477.37009) Full Text: DOI arXiv OpenURL
Azcue, Pablo; Muler, Nora A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme. (English) Zbl 1468.49027 Appl. Math. Optim. 83, No. 3, 1613-1649 (2021). MSC: 49L12 49L25 35F21 91B64 PDF BibTeX XML Cite \textit{P. Azcue} and \textit{N. Muler}, Appl. Math. Optim. 83, No. 3, 1613--1649 (2021; Zbl 1468.49027) Full Text: DOI arXiv OpenURL
Basrak, Bojan; Planinić, Hrvoje Compound Poisson approximation for regularly varying fields with application to sequence alignment. (English) Zbl 1480.60136 Bernoulli 27, No. 2, 1371-1408 (2021). MSC: 60G60 60G55 60G70 PDF BibTeX XML Cite \textit{B. Basrak} and \textit{H. Planinić}, Bernoulli 27, No. 2, 1371--1408 (2021; Zbl 1480.60136) Full Text: DOI arXiv OpenURL
Sun, Zongqi; Yang, Peng The Laplace transform of ruin time with investment and barrier dividend. (Chinese. English summary) Zbl 1474.91034 J. Shenzhen Univ., Sci. Eng. 38, No. 2, 214-220 (2021). MSC: 91B05 44A10 91G05 PDF BibTeX XML Cite \textit{Z. Sun} and \textit{P. Yang}, J. Shenzhen Univ., Sci. Eng. 38, No. 2, 214--220 (2021; Zbl 1474.91034) Full Text: DOI OpenURL
Zhang, Jiesong A catastrophe shock model and the bond pricing. (Chinese. English summary) Zbl 1474.91165 J. Shenzhen Univ., Sci. Eng. 38, No. 2, 208-213 (2021). MSC: 91G05 91G20 60G22 PDF BibTeX XML Cite \textit{J. Zhang}, J. Shenzhen Univ., Sci. Eng. 38, No. 2, 208--213 (2021; Zbl 1474.91165) Full Text: DOI OpenURL
Chen, Mi; Hu, Xiang Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process. (English) Zbl 07528936 Commun. Stat., Theory Methods 49, No. 16, 3985-4001 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Chen} and \textit{X. Hu}, Commun. Stat., Theory Methods 49, No. 16, 3985--4001 (2020; Zbl 07528936) Full Text: DOI OpenURL
Li, Yuying; Sendova, Kristina P. A surplus process involving a compound Poisson counting process and applications. (English) Zbl 07528735 Commun. Stat., Theory Methods 49, No. 13, 3238-3256 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{Y. Li} and \textit{K. P. Sendova}, Commun. Stat., Theory Methods 49, No. 13, 3238--3256 (2020; Zbl 07528735) Full Text: DOI OpenURL
Rao, P. Mallikharjuna; Rao, K. Srinivasa On three-graded manpower model with non-homogeneous Poisson recruitment in first and second grades. (English) Zbl 1479.90129 Int. J. Oper. Res., Taichung 17, No. 3, 65-92 (2020). MSC: 90B70 PDF BibTeX XML Cite \textit{P. M. Rao} and \textit{K. S. Rao}, Int. J. Oper. Res., Taichung 17, No. 3, 65--92 (2020; Zbl 1479.90129) Full Text: Link OpenURL
Sengar, Ayushi Singh; Upadhye, Neelesh S. Subordinated compound Poisson processes of order \(k\). (English) Zbl 1479.60079 Mod. Stoch., Theory Appl. 7, No. 4, 395-413 (2020). MSC: 60G22 60G55 PDF BibTeX XML Cite \textit{A. S. Sengar} and \textit{N. S. Upadhye}, Mod. Stoch., Theory Appl. 7, No. 4, 395--413 (2020; Zbl 1479.60079) Full Text: DOI arXiv OpenURL
Maes, Christian; Netočný, Karel Nonequilibrium relaxation and pattern formation. (English) Zbl 1479.82050 Mosc. Math. J. 20, No. 4, 741-747 (2020). Reviewer: Bassano Vacchini (Milano) MSC: 82C31 60G55 60J60 35B36 35Q84 PDF BibTeX XML Cite \textit{C. Maes} and \textit{K. Netočný}, Mosc. Math. J. 20, No. 4, 741--747 (2020; Zbl 1479.82050) Full Text: Link OpenURL
Kondratiev, Yuri; da Silva, José L. Green measures for Markov processes. (English) Zbl 1474.60133 Methods Funct. Anal. Topol. 26, No. 3, 241-248 (2020). Reviewer: Anatoly N. Kochubei (Kyïv) MSC: 60G55 60J65 47D07 PDF BibTeX XML Cite \textit{Y. Kondratiev} and \textit{J. L. da Silva}, Methods Funct. Anal. Topol. 26, No. 3, 241--248 (2020; Zbl 1474.60133) Full Text: DOI arXiv OpenURL
Behme, Anita; Klüppelberg, Claudia; Reinert, Gesine Ruin probabilities for risk processes in a bipartite network. (English) Zbl 1468.60058 Stoch. Models 36, No. 4, 548-573 (2020). MSC: 60G51 05C80 91B05 PDF BibTeX XML Cite \textit{A. Behme} et al., Stoch. Models 36, No. 4, 548--573 (2020; Zbl 1468.60058) Full Text: DOI arXiv OpenURL
Zhang, Xiaoyi; Guo, Junyi Optimal defined contribution pension management with salary and risky assets following jump diffusion processes. (English) Zbl 1466.91275 East Asian J. Appl. Math. 10, No. 1, 22-39 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{X. Zhang} and \textit{J. Guo}, East Asian J. Appl. Math. 10, No. 1, 22--39 (2020; Zbl 1466.91275) Full Text: DOI OpenURL
Zhang, Yanguo; Song, Chunyan; Li, Shilong Net premium reserve in life insurance under Vasicek model with jumps. (Chinese. English summary) Zbl 1474.91169 J. Shandong Univ., Nat. Sci. 55, No. 9, 81-88 (2020). MSC: 91G05 91G30 60G55 60J60 PDF BibTeX XML Cite \textit{Y. Zhang} et al., J. Shandong Univ., Nat. Sci. 55, No. 9, 81--88 (2020; Zbl 1474.91169) OpenURL
Kataria, Kuldeep Kumar; Vellaisamy, Palaniappan State dependent versions of the space-time fractional Poisson process. (English) Zbl 1474.60108 Fract. Calc. Appl. Anal. 23, No. 5, 1483-1505 (2020). MSC: 60G22 60G55 PDF BibTeX XML Cite \textit{K. K. Kataria} and \textit{P. Vellaisamy}, Fract. Calc. Appl. Anal. 23, No. 5, 1483--1505 (2020; Zbl 1474.60108) Full Text: DOI OpenURL
Swishchuk, Anatoliy Stochastic modelling of big data in finance. (English) Zbl 1457.91364 Methodol. Comput. Appl. Probab. 22, No. 4, 1613-1630 (2020). MSC: 91G15 91G80 60F05 60G55 60K15 PDF BibTeX XML Cite \textit{A. Swishchuk}, Methodol. Comput. Appl. Probab. 22, No. 4, 1613--1630 (2020; Zbl 1457.91364) Full Text: DOI OpenURL
Borodin, A. N. Limit behavior of a compound Poisson process with switching and dominated summands. (English. Russian original) Zbl 1460.60018 J. Math. Sci., New York 251, No. 1, 27-37 (2020); translation from Zap. Nauchn. Semin. POMI 474, 46-62 (2018). MSC: 60F17 60J76 60G55 PDF BibTeX XML Cite \textit{A. N. Borodin}, J. Math. Sci., New York 251, No. 1, 27--37 (2020; Zbl 1460.60018); translation from Zap. Nauchn. Semin. POMI 474, 46--62 (2018) Full Text: DOI OpenURL
Borodin, A. N. Limit behavior of a compound Poisson process with switching. (English. Russian original) Zbl 1459.60076 J. Math. Sci., New York 244, No. 5, 733-742 (2020); translation from Zap. Nauchn. Semin. POMI 466, 54-66 (2017). MSC: 60F17 60J76 60G55 PDF BibTeX XML Cite \textit{A. N. Borodin}, J. Math. Sci., New York 244, No. 5, 733--742 (2020; Zbl 1459.60076); translation from Zap. Nauchn. Semin. POMI 466, 54--66 (2017) Full Text: DOI OpenURL
Gugushvili, Shota; Mariucci, Ester; van der Meulen, Frank Decompounding discrete distributions: a nonparametric Bayesian approach. (English) Zbl 1450.62029 Scand. J. Stat. 47, No. 2, 464-492 (2020). MSC: 62G07 60G55 PDF BibTeX XML Cite \textit{S. Gugushvili} et al., Scand. J. Stat. 47, No. 2, 464--492 (2020; Zbl 1450.62029) Full Text: DOI arXiv OpenURL
Reiss, Markus; Schmidt-Hieber, Johannes Nonparametric Bayesian analysis of the compound Poisson prior for support boundary recovery. (English) Zbl 1452.62155 Ann. Stat. 48, No. 3, 1432-1451 (2020). Reviewer: Doina Carp (Bucureşti) MSC: 62C10 62G05 60G55 PDF BibTeX XML Cite \textit{M. Reiss} and \textit{J. Schmidt-Hieber}, Ann. Stat. 48, No. 3, 1432--1451 (2020; Zbl 1452.62155) Full Text: DOI arXiv Euclid OpenURL
Landriault, David; Willmot, Gordon E. On series expansions for scale functions and other ruin-related quantities. (English) Zbl 1447.91142 Scand. Actuar. J. 2020, No. 4, 292-306 (2020). MSC: 91G05 60G51 PDF BibTeX XML Cite \textit{D. Landriault} and \textit{G. E. Willmot}, Scand. Actuar. J. 2020, No. 4, 292--306 (2020; Zbl 1447.91142) Full Text: DOI OpenURL
Klebaner, F. C.; Logachov, A. V.; Mogulskii, A. A. Extended large deviation principle for trajectories of processes with independent and stationary increments on the half-line. (English. Russian original) Zbl 1447.60056 Probl. Inf. Transm. 56, No. 1, 56-72 (2020); translation from Probl. Peredachi Inf. 56, No. 1, 63-79 (2020). MSC: 60F10 PDF BibTeX XML Cite \textit{F. C. Klebaner} et al., Probl. Inf. Transm. 56, No. 1, 56--72 (2020; Zbl 1447.60056); translation from Probl. Peredachi Inf. 56, No. 1, 63--79 (2020) Full Text: DOI OpenURL
Sun, Weiwei; Hu, Xiang; Zhang, Lianzeng Moments of discounted aggregate claims with dependence based on Spearman copula. (English) Zbl 1437.91400 J. Comput. Appl. Math. 377, Article ID 112889, 16 p. (2020). MSC: 91G05 62P05 62H05 PDF BibTeX XML Cite \textit{W. Sun} et al., J. Comput. Appl. Math. 377, Article ID 112889, 16 p. (2020; Zbl 1437.91400) Full Text: DOI OpenURL
Gatto, Riccardo The stability of the probability of ruin. (English) Zbl 1437.91460 Stoch. Models 36, No. 1, 112-133 (2020). MSC: 91G70 65C05 60K10 PDF BibTeX XML Cite \textit{R. Gatto}, Stoch. Models 36, No. 1, 112--133 (2020; Zbl 1437.91460) Full Text: DOI OpenURL
Macheras, Nikolaos D.; Tzaninis, Spyridon M. A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles. (English) Zbl 1435.60039 Mod. Stoch., Theory Appl. 7, No. 1, 43-60 (2020). MSC: 60G55 91G40 28A35 60G44 60K05 PDF BibTeX XML Cite \textit{N. D. Macheras} and \textit{S. M. Tzaninis}, Mod. Stoch., Theory Appl. 7, No. 1, 43--60 (2020; Zbl 1435.60039) Full Text: DOI arXiv OpenURL
Glanzer, Martin; Pflug, Georg Ch. Multiscale stochastic optimization: modeling aspects and scenario generation. (English) Zbl 1432.90094 Comput. Optim. Appl. 75, No. 1, 1-34 (2020). MSC: 90C15 90-10 PDF BibTeX XML Cite \textit{M. Glanzer} and \textit{G. Ch. Pflug}, Comput. Optim. Appl. 75, No. 1, 1--34 (2020; Zbl 1432.90094) Full Text: DOI OpenURL
Guo, Feifei; Ling, Shiqing Quasi-likelihood estimation of structure-changed threshold double autoregressive models. (English) Zbl 1437.62331 J. Stat. Plann. Inference 205, 138-155 (2020). MSC: 62M10 62E20 62F12 PDF BibTeX XML Cite \textit{F. Guo} and \textit{S. Ling}, J. Stat. Plann. Inference 205, 138--155 (2020; Zbl 1437.62331) Full Text: DOI OpenURL
Wang, Guochao; Zheng, Shenzhou; Wang, Jun Complex and composite entropy fluctuation behaviors of statistical physics interacting financial model. (English) Zbl 07558220 Physica A 517, 97-113 (2019). MSC: 82-XX PDF BibTeX XML Cite \textit{G. Wang} et al., Physica A 517, 97--113 (2019; Zbl 07558220) Full Text: DOI OpenURL
Mosyagin, Vyacheslav Evgen’evich Exact asymptotics for the distribution of the time of attaining the maximum for a trajectory of a compound Poisson process with linear drift. (Russian. English summary) Zbl 1492.60092 Mat. Tr. 22, No. 2, 134-156 (2019). MSC: 60G17 60G51 PDF BibTeX XML Cite \textit{V. E. Mosyagin}, Mat. Tr. 22, No. 2, 134--156 (2019; Zbl 1492.60092) Full Text: DOI MNR OpenURL
Sun, Zhongyang Upper bounds for ruin probabilities under model uncertainty. (English) Zbl 07528171 Commun. Stat., Theory Methods 48, No. 18, 4511-4527 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{Z. Sun}, Commun. Stat., Theory Methods 48, No. 18, 4511--4527 (2019; Zbl 07528171) Full Text: DOI OpenURL
Coen, Arrigo; Godínez-Chaparro, Beatriz Compound Dirichlet processes. (English) Zbl 1436.60034 Antoniano-Villalobos, Isadora (ed.) et al., Selected contributions on statistics and data science in Latin America. 33rd “Foro nacional de estadística” (FNE) and 13th “Congreso Latinoamericano de Sociedades de Estadística” (CLATSE), Guadalajara, Mexico, October 1–5, 2018. Cham: Springer. Springer Proc. Math. Stat. 301, 43-58 (2019). MSC: 60G07 60K05 62P10 PDF BibTeX XML Cite \textit{A. Coen} and \textit{B. Godínez-Chaparro}, Springer Proc. Math. Stat. 301, 43--58 (2019; Zbl 1436.60034) Full Text: DOI arXiv OpenURL
Mayster, Penka; Tchorbadjieff, Assen Logarithmic Lévy process directed by Poisson subordinator. (English) Zbl 1474.60129 Mod. Stoch., Theory Appl. 6, No. 4, 419-441 (2019). MSC: 60G51 60E07 11B73 33C05 PDF BibTeX XML Cite \textit{P. Mayster} and \textit{A. Tchorbadjieff}, Mod. Stoch., Theory Appl. 6, No. 4, 419--441 (2019; Zbl 1474.60129) Full Text: DOI arXiv OpenURL
Cheng, Conghua Empirical likelihood ratio for two-sample compound Poisson process problems. (English) Zbl 07193881 J. Stat. Comput. Simulation 89, No. 16, 3035-3045 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{C. Cheng}, J. Stat. Comput. Simulation 89, No. 16, 3035--3045 (2019; Zbl 07193881) Full Text: DOI OpenURL
Shokrollahi, Foad Pricing compound and extendible options under mixed fractional Brownian motion with jumps. (English) Zbl 1432.91125 Axioms 8, No. 2, Paper No. 39, 12 p. (2019). MSC: 91G20 60G22 60H30 PDF BibTeX XML Cite \textit{F. Shokrollahi}, Axioms 8, No. 2, Paper No. 39, 12 p. (2019; Zbl 1432.91125) Full Text: DOI arXiv OpenURL
Hongler, Max-Olivier; Filliger, Roger On jump-diffusive driving noise sources. Some explicit results and applications. (English) Zbl 1439.60078 Methodol. Comput. Appl. Probab. 21, No. 3, 753-764 (2019). MSC: 60J74 60H10 82C31 60K35 PDF BibTeX XML Cite \textit{M.-O. Hongler} and \textit{R. Filliger}, Methodol. Comput. Appl. Probab. 21, No. 3, 753--764 (2019; Zbl 1439.60078) Full Text: DOI arXiv OpenURL
Azcue, Pablo; Muler, Nora Optimal cash management problem for compound Poisson processes with two-sided jumps. (English) Zbl 1429.49040 Appl. Math. Optim. 80, No. 2, 331-368 (2019). MSC: 49N25 PDF BibTeX XML Cite \textit{P. Azcue} and \textit{N. Muler}, Appl. Math. Optim. 80, No. 2, 331--368 (2019; Zbl 1429.49040) Full Text: DOI OpenURL
Gao, Zhaoxing; Ling, Shiqing Statistical inference for structurally changed threshold autoregressive models. (English) Zbl 1441.62233 Stat. Sin. 29, No. 4, 1803-1829 (2019). Reviewer: Claudia Simionescu-Badea (Wien) MSC: 62M10 62G05 60J65 93E24 PDF BibTeX XML Cite \textit{Z. Gao} and \textit{S. Ling}, Stat. Sin. 29, No. 4, 1803--1829 (2019; Zbl 1441.62233) Full Text: DOI Link OpenURL
Burnecki, Krzysztof; Giuricich, Mario Nicoló; Palmowski, Zbigniew Valuation of contingent convertible catastrophe bonds – the case for equity conversion. (English) Zbl 1425.91215 Insur. Math. Econ. 88, 238-254 (2019). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{K. Burnecki} et al., Insur. Math. Econ. 88, 238--254 (2019; Zbl 1425.91215) Full Text: DOI arXiv OpenURL
Novak, S. Y. Poisson approximation. (English) Zbl 1422.60028 Probab. Surv. 16, 228-276 (2019). MSC: 60E15 60F05 60G50 60G51 60G55 60G70 60J75 62E17 62E20 PDF BibTeX XML Cite \textit{S. Y. Novak}, Probab. Surv. 16, 228--276 (2019; Zbl 1422.60028) Full Text: DOI arXiv Euclid OpenURL
Giuliano, Rita; Macci, Claudio; Pacchiarotti, Barbara Large deviations for weighted means of random vectors defined in terms of suitable Lévy processes. (English) Zbl 1458.60037 Stat. Probab. Lett. 150, 13-22 (2019). MSC: 60F10 60E07 60G51 PDF BibTeX XML Cite \textit{R. Giuliano} et al., Stat. Probab. Lett. 150, 13--22 (2019; Zbl 1458.60037) Full Text: DOI OpenURL
Kurisu, Daisuke Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations. (English) Zbl 1426.62244 Electron. J. Stat. 13, No. 2, 2521-2565 (2019). MSC: 62M05 62M15 60G51 62G20 62G15 60F05 PDF BibTeX XML Cite \textit{D. Kurisu}, Electron. J. Stat. 13, No. 2, 2521--2565 (2019; Zbl 1426.62244) Full Text: DOI arXiv Euclid OpenURL
Li, Yuanbo; Zheng, Xunze; Yau, Chun Yip Generalized threshold latent variable model. (English) Zbl 1427.62100 Electron. J. Stat. 13, No. 1, 2043-2092 (2019). Reviewer: Alessandro Selvitella (Fort Wayne) MSC: 62M10 62P05 PDF BibTeX XML Cite \textit{Y. Li} et al., Electron. J. Stat. 13, No. 1, 2043--2092 (2019; Zbl 1427.62100) Full Text: DOI Euclid OpenURL
Gouriéroux, Christian; Lu, Yang Negative binomial autoregressive process with stochastic intensity. (English) Zbl 1425.62125 J. Time Ser. Anal. 40, No. 2, 225-247 (2019). Reviewer: Claudia Simionescu-Badea (Wien) MSC: 62M10 62M05 62P10 62H12 PDF BibTeX XML Cite \textit{C. Gouriéroux} and \textit{Y. Lu}, J. Time Ser. Anal. 40, No. 2, 225--247 (2019; Zbl 1425.62125) Full Text: DOI OpenURL
Bi, Junna; Chen, Kailing Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles. (English) Zbl 1418.62373 RAIRO, Oper. Res. 53, No. 1, 179-206 (2019). MSC: 62P05 91B30 93E20 62P20 60J70 PDF BibTeX XML Cite \textit{J. Bi} and \textit{K. Chen}, RAIRO, Oper. Res. 53, No. 1, 179--206 (2019; Zbl 1418.62373) Full Text: DOI OpenURL
Klebaner, Fima C.; Mogulskiĭ, Anatoliĭ Al’fredovich Large deviations for processes on half-line: random walk and compound Poisson. (English) Zbl 1420.60039 Sib. Èlektron. Mat. Izv. 16, 1-20 (2019). MSC: 60F10 60G50 60H10 60J60 PDF BibTeX XML Cite \textit{F. C. Klebaner} and \textit{A. A. Mogulskiĭ}, Sib. Èlektron. Mat. Izv. 16, 1--20 (2019; Zbl 1420.60039) Full Text: DOI arXiv OpenURL
Arapostathis, Ari; Caffarelli, Luis; Pang, Guodong; Zheng, Yi Ergodic control of a class of jump diffusions with finite Lévy measures and rough kernels. (English) Zbl 1415.93288 SIAM J. Control Optim. 57, No. 2, 1516-1540 (2019). MSC: 93E20 60J75 35Q93 60J60 93E15 PDF BibTeX XML Cite \textit{A. Arapostathis} et al., SIAM J. Control Optim. 57, No. 2, 1516--1540 (2019; Zbl 1415.93288) Full Text: DOI arXiv OpenURL
Steffensen, Mogens; Thøgersen, Julie Personal non-life insurance decisions and the welfare loss from flat deductibles. (English) Zbl 1419.91384 ASTIN Bull. 49, No. 1, 85-116 (2019). MSC: 91B30 91B16 PDF BibTeX XML Cite \textit{M. Steffensen} and \textit{J. Thøgersen}, ASTIN Bull. 49, No. 1, 85--116 (2019; Zbl 1419.91384) Full Text: DOI Link OpenURL
Luo, Ming; Wu, Shaomin A comprehensive analysis of warranty claims and optimal policies. (English) Zbl 1430.90215 Eur. J. Oper. Res. 276, No. 1, 144-159 (2019). MSC: 90B25 90B30 PDF BibTeX XML Cite \textit{M. Luo} and \textit{S. Wu}, Eur. J. Oper. Res. 276, No. 1, 144--159 (2019; Zbl 1430.90215) Full Text: DOI Link OpenURL
Kamphorst, Bart; Zwart, Bert Uniform asymptotics for compound Poisson processes with regularly varying jumps and vanishing drift. (English) Zbl 1403.60038 Stochastic Processes Appl. 129, No. 2, 572-603 (2019). MSC: 60G51 60K25 PDF BibTeX XML Cite \textit{B. Kamphorst} and \textit{B. Zwart}, Stochastic Processes Appl. 129, No. 2, 572--603 (2019; Zbl 1403.60038) Full Text: DOI arXiv Link OpenURL
Nguyen, Michele; Veraart, Almut E. D. Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein-Uhlenbeck processes. (English) Zbl 1498.60139 Stochastics 90, No. 7, 1023-1052 (2018). MSC: 60G10 60G60 62M10 PDF BibTeX XML Cite \textit{M. Nguyen} and \textit{A. E. D. Veraart}, Stochastics 90, No. 7, 1023--1052 (2018; Zbl 1498.60139) Full Text: DOI arXiv OpenURL
Matsuda, Yasumasa; Yajima, Yoshihiro Locally stationary spatio-temporal processes. (English) Zbl 1430.62202 Jpn. J. Stat. Data Sci. 1, No. 1, 41-57 (2018). MSC: 62M10 62M15 62M30 62P12 PDF BibTeX XML Cite \textit{Y. Matsuda} and \textit{Y. Yajima}, Jpn. J. Stat. Data Sci. 1, No. 1, 41--57 (2018; Zbl 1430.62202) Full Text: DOI Link OpenURL
Ivanov, Roman V.; Ano, Katsunori Option pricing in time-changed Lévy models with compound Poisson jumps. (English) Zbl 1457.91380 Mod. Stoch., Theory Appl. 6, No. 1, 81-107 (2019). MSC: 91G20 60G51 60J74 PDF BibTeX XML Cite \textit{R. V. Ivanov} and \textit{K. Ano}, Mod. Stoch., Theory Appl. 6, No. 1, 81--107 (2018; Zbl 1457.91380) Full Text: DOI arXiv OpenURL
Hess, Markus Cliquet option pricing in a jump-diffusion Lévy model. (English) Zbl 1412.60055 Mod. Stoch., Theory Appl. 5, No. 3, 317-336 (2018). MSC: 60G10 60G51 60H10 91B30 91B70 PDF BibTeX XML Cite \textit{M. Hess}, Mod. Stoch., Theory Appl. 5, No. 3, 317--336 (2018; Zbl 1412.60055) Full Text: DOI arXiv OpenURL
D’Onofrio, Giuseppe; Macci, Claudio; Pirozzi, Enrica Asymptotic results for first-passage times of some exponential processes. (English) Zbl 1422.60041 Methodol. Comput. Appl. Probab. 20, No. 4, 1453-1476 (2018). MSC: 60F10 60G51 60K20 PDF BibTeX XML Cite \textit{G. D'Onofrio} et al., Methodol. Comput. Appl. Probab. 20, No. 4, 1453--1476 (2018; Zbl 1422.60041) Full Text: DOI OpenURL
Liu, Yang; Li, Deru; Li, Yingqiu; Zhang, Haiping Modeling vehicle traffic loads by the 2D compound Poisson process. (English) Zbl 1409.90053 Appl. Stoch. Models Bus. Ind. 34, No. 5, 607-617 (2018). MSC: 90B20 60G15 PDF BibTeX XML Cite \textit{Y. Liu} et al., Appl. Stoch. Models Bus. Ind. 34, No. 5, 607--617 (2018; Zbl 1409.90053) Full Text: DOI OpenURL
Hambuckers, J.; Kneib, T.; Langrock, R.; Silbersdorff, A. A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models. (English) Zbl 1406.91499 Quant. Finance 18, No. 10, 1679-1698 (2018). MSC: 91G80 PDF BibTeX XML Cite \textit{J. Hambuckers} et al., Quant. Finance 18, No. 10, 1679--1698 (2018; Zbl 1406.91499) Full Text: DOI OpenURL
Yu, Ping; Phillips, Peter C. B. Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion. (English) Zbl 1407.62254 Econ. Lett. 172, 123-126 (2018). MSC: 62J02 62F12 62M10 60J65 60G44 PDF BibTeX XML Cite \textit{P. Yu} and \textit{P. C. B. Phillips}, Econ. Lett. 172, 123--126 (2018; Zbl 1407.62254) Full Text: DOI Link OpenURL
Putyatina, Oleksandra; Sass, Jörn Approximation for portfolio optimization in a financial market with shot-noise jumps. (English) Zbl 1417.91478 Comput. Manag. Sci. 15, No. 2, 161-186 (2018). MSC: 91G10 60J75 93E20 PDF BibTeX XML Cite \textit{O. Putyatina} and \textit{J. Sass}, Comput. Manag. Sci. 15, No. 2, 161--186 (2018; Zbl 1417.91478) Full Text: DOI OpenURL
Cheng, Conghua Empirical likelihood for compound Poisson vector processes. (English) Zbl 1413.62043 Math. Appl. 31, No. 2, 408-416 (2018). MSC: 62G05 60G55 PDF BibTeX XML Cite \textit{C. Cheng}, Math. Appl. 31, No. 2, 408--416 (2018; Zbl 1413.62043) OpenURL
Hu, Xiang; Zhang, Lianzeng; Sun, Weiwei Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations. (English) Zbl 1416.91190 Scand. Actuar. J. 2018, No. 5, 412-425 (2018). MSC: 91B30 62P05 62M10 PDF BibTeX XML Cite \textit{X. Hu} et al., Scand. Actuar. J. 2018, No. 5, 412--425 (2018; Zbl 1416.91190) Full Text: DOI OpenURL
Reis, Matthias; Kromer, Justus A.; Klipp, Edda General solution of the chemical master equation and modality of marginal distributions for hierarchic first-order reaction networks. (English) Zbl 1397.92784 J. Math. Biol. 77, No. 2, 377-419 (2018). MSC: 92E20 62E10 34A30 PDF BibTeX XML Cite \textit{M. Reis} et al., J. Math. Biol. 77, No. 2, 377--419 (2018; Zbl 1397.92784) Full Text: DOI OpenURL
Mohammadpour, M.; Bakouch, Hassan S.; Shirozhan, M. Poisson-Lindley INAR(1) model with applications. (English) Zbl 1395.62278 Braz. J. Probab. Stat. 32, No. 2, 262-280 (2018). MSC: 62M10 62P10 PDF BibTeX XML Cite \textit{M. Mohammadpour} et al., Braz. J. Probab. Stat. 32, No. 2, 262--280 (2018; Zbl 1395.62278) Full Text: DOI Euclid OpenURL
Iacus, Stefano M.; Yoshida, Nakahiro Simulation and inference for stochastic processes with YUIMA. A comprehensive R framework for SDEs and other stochastic processes. (English) Zbl 1458.60004 Use R!. Cham: Springer (ISBN 978-3-319-55567-6/pbk; 978-3-319-55569-0/ebook). xiii, 268 p. (2018). Reviewer: Irina Ioana Mohorianu (Oxford) MSC: 60-02 60-04 60G05 68N15 PDF BibTeX XML Cite \textit{S. M. Iacus} and \textit{N. Yoshida}, Simulation and inference for stochastic processes with YUIMA. A comprehensive R framework for SDEs and other stochastic processes. Cham: Springer (2018; Zbl 1458.60004) Full Text: DOI OpenURL
Wang, Wenyuan; Wu, Xueyuan; Peng, Xingchun; Yuen, Kam C. A note on joint occupation times of spectrally negative Lévy risk processes with tax. (English) Zbl 1392.60044 Stat. Probab. Lett. 140, 13-22 (2018). MSC: 60G51 60E10 PDF BibTeX XML Cite \textit{W. Wang} et al., Stat. Probab. Lett. 140, 13--22 (2018; Zbl 1392.60044) Full Text: DOI OpenURL
Gugushvili, Shota; van der Meulen, Frank; Spreij, Peter A non-parametric Bayesian approach to decompounding from high frequency data. (English) Zbl 1395.62079 Stat. Inference Stoch. Process. 21, No. 1, 53-79 (2018). Reviewer: Alex V. Kolnogorov (Novgorod) MSC: 62G07 62F15 62G20 PDF BibTeX XML Cite \textit{S. Gugushvili} et al., Stat. Inference Stoch. Process. 21, No. 1, 53--79 (2018; Zbl 1395.62079) Full Text: DOI arXiv OpenURL
Léveillé, Ghislain; Hamel, Emmanuel Conditional, non-homogeneous and doubly stochastic compound Poisson processes with stochastic discounted claims. (English) Zbl 1384.62301 Methodol. Comput. Appl. Probab. 20, No. 1, 353-368 (2018). MSC: 62P05 60K10 91B30 91G70 PDF BibTeX XML Cite \textit{G. Léveillé} and \textit{E. Hamel}, Methodol. Comput. Appl. Probab. 20, No. 1, 353--368 (2018; Zbl 1384.62301) Full Text: DOI OpenURL
Coca, Alberto J. Efficient nonparametric inference for discretely observed compound Poisson processes. (English) Zbl 1383.62081 Probab. Theory Relat. Fields 170, No. 1-2, 475-523 (2018). MSC: 62G05 60G51 60F05 62G07 62G20 PDF BibTeX XML Cite \textit{A. J. Coca}, Probab. Theory Relat. Fields 170, No. 1--2, 475--523 (2018; Zbl 1383.62081) Full Text: DOI arXiv OpenURL
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora Optimal dividend strategies for two collaborating insurance companies. (English) Zbl 1429.91274 Adv. Appl. Probab. 49, No. 2, 515-548 (2017). MSC: 91G05 91G50 93E20 49L25 PDF BibTeX XML Cite \textit{H. Albrecher} et al., Adv. Appl. Probab. 49, No. 2, 515--548 (2017; Zbl 1429.91274) Full Text: DOI arXiv OpenURL
Brockwell, Peter J.; Matsuda, Yasumasa Continuous auto-regressive moving average random fields on \(\mathbb{R}^n\). (English) Zbl 1411.62277 J. R. Stat. Soc., Ser. B, Stat. Methodol. 79, No. 3, 833-857 (2017). MSC: 62M40 62M10 60G51 PDF BibTeX XML Cite \textit{P. J. Brockwell} and \textit{Y. Matsuda}, J. R. Stat. Soc., Ser. B, Stat. Methodol. 79, No. 3, 833--857 (2017; Zbl 1411.62277) Full Text: DOI OpenURL
Gao, Ruofan; Li, Jie Simulation of compound Poisson process based on stochastic harmonic function. (Chinese. English summary) Zbl 1399.60087 J. Tongji Univ., Nat. Sci. 45, No. 12, 1731-1738, 1764 (2017). MSC: 60G55 65C20 PDF BibTeX XML Cite \textit{R. Gao} and \textit{J. Li}, J. Tongji Univ., Nat. Sci. 45, No. 12, 1731--1738, 1764 (2017; Zbl 1399.60087) Full Text: DOI OpenURL
Chen, Yingying; Jiang, Hui Asymptotic properties for spot volatility estimation of diffusions with compound Poisson jumps. (Chinese. English summary) Zbl 1399.62045 J. Math., Wuhan Univ. 37, No. 5, 1029-1039 (2017). MSC: 62F12 60J60 PDF BibTeX XML Cite \textit{Y. Chen} and \textit{H. Jiang}, J. Math., Wuhan Univ. 37, No. 5, 1029--1039 (2017; Zbl 1399.62045) Full Text: DOI OpenURL
Kasparavičiūtė, Aurelija; Deltuvienė, Dovilė Asymptotic expansion for the distribution density function of the compound Poisson process in large deviations. (English) Zbl 1408.60023 J. Theor. Probab. 30, No. 4, 1655-1676 (2017). MSC: 60F10 60G55 PDF BibTeX XML Cite \textit{A. Kasparavičiūtė} and \textit{D. Deltuvienė}, J. Theor. Probab. 30, No. 4, 1655--1676 (2017; Zbl 1408.60023) Full Text: DOI OpenURL
Abdullah, Syarif; Mangku, I. Wayan; Siswadi Estimation of the variance function of a compound cyclic Poisson process in the presence of linear trend. (English) Zbl 1392.62245 Far East J. Math. Sci. (FJMS) 102, No. 3, 559-572 (2017). MSC: 62M05 62G20 PDF BibTeX XML Cite \textit{S. Abdullah} et al., Far East J. Math. Sci. (FJMS) 102, No. 3, 559--572 (2017; Zbl 1392.62245) Full Text: DOI Link OpenURL
Prasetya, I Made Yoga Emma; Mangku, I Wayan; Sumarno, Hadi Estimating the mean and variance of a compound Poisson process with the Poisson intensity obtained as exponential of the linear function. (English) Zbl 06829169 Far East J. Math. Sci. (FJMS) 102, No. 4, 721-729 (2017). MSC: 62E20 62G20 62M20 PDF BibTeX XML Cite \textit{I M. Y. E. Prasetya} et al., Far East J. Math. Sci. (FJMS) 102, No. 4, 721--729 (2017; Zbl 06829169) Full Text: DOI Link OpenURL
Schmidli, Hanspeter Risk theory. (English) Zbl 1422.91009 Springer Actuarial. Lecture Notes. Cham: Springer (ISBN 978-3-319-72004-3/pbk; 978-3-319-72005-0/ebook). xii, 242 p. (2017). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91-01 91B30 91B16 60J75 60K10 PDF BibTeX XML Cite \textit{H. Schmidli}, Risk theory. Cham: Springer (2017; Zbl 1422.91009) Full Text: DOI OpenURL
Pang, Guodong; Zheng, Yi On the functional and local limit theorems for Markov modulated compound Poisson processes. (English) Zbl 1380.60040 Stat. Probab. Lett. 129, 131-140 (2017). MSC: 60F17 60G55 60F05 60J27 PDF BibTeX XML Cite \textit{G. Pang} and \textit{Y. Zheng}, Stat. Probab. Lett. 129, 131--140 (2017; Zbl 1380.60040) Full Text: DOI OpenURL