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.

This is a preview. Log in through your library . Abstract A compound Poisson process whose randomized time is an independent Poisson process is called a compound Poisson process with Poisson ...

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: O-U compound Poisson processes, as a new category of processes of Ornstein--Uhlenbeck type, are put forward in this paper. These processes are a generalization of gamma O--U processes. By ...

Abstract: In this paper, we precisely quantify the wavelet compressibility of compound Poisson processes. To that end, we expand the given random process over the Haar wavelet basis and we analyse its ...

The 'rendezvous time' of two stochastic processes is the first time at which they cross or hit each other. We consider such times for a Brownian motion with drift, starting at some positive level, and ...

In this note we study the optimal dividend problem for a company whose surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting ...

In this paper, we introduce tail dependene measures for collateral losses from catastrophic events. To calculate these measures, we use bivariate compound process where a Cox process with shot noise ...