This paper presents new results on the nonhomogeneous bivariate compound Poisson process with a short-term periodic intensity function. The dependence between margins is modeled using the Lévy copula.

N(t) is a Poisson process with rate lambda (interarrival times are exponential) Xi are independent exponential random variables with rate mu N(t) and Xi are independent The goal is to derive the ...

ABSTRACT: In this paper, we consider a Brownian motion risk model with stochastic return on investments. Using the strong Markov property and exploiting the limitation idea, we derive the ...

This repository contains an R script that demonstrates the simulation and visualization of a Compound Poisson Process. The code generates sample paths and graphical representations of the process, ...