A risk model with renewal shot-noise Cox process

Shot Noise Cox Processes

Generalised Shot Noise Cox Processes

We introduce a new class of Cox cluster processes called generalised shotnoise Cox processes (GSNCPs), which extends the definition of shot noise Cox processes (SNCPs) in two directions: the point process which drives the shot noise is not necessarily Poisson, and the kernel of the shot noise can be random. Thereby a very large class of models for aggregated or clustered point patterns is obtai...

Structured Spatio-Temporal Shot-Noise Cox Point Process Models, with a View to Modelling Forest Fires

Spatio-temporal Cox point process models with a multiplicative structure for the driving random intensity, incorporating covariate information into temporal and spatial components, and with a residual term modelled by a shot-noise process, are considered. Such models are flexible and tractable for statistical analysis, using spatio-temporal versions of intensity and inhomogeneous K-functions, q...

Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity

We use the Cox process (or a doubly stochastic Poisson process) to model the claim arrival process for catastrophic events. The shot noise process is used for the claim intensity function within the Cox process. The Cox process with shot noise intensity is examined by piecewise deterministic Markov process theory. We apply the model to price stop-loss catastrophe reinsurance contract and catast...

Structured spatio - temporal shot - noise Cox point process models , with a view to modelling forest fires August 11 , 2008

Spatio-temporal Cox point process models with a multiplicative structure for the driving random intensity, incorporating covariate information into temporal and spatial components, and with a residual term modelled by a shot-noise process, are considered. Such models are flexible and tractable for statistical analysis, using spatio-temporal versions of intensity and inhomogeneous K-functions, q...