We propose a model for short-term rates driven by a self-exciting jump process to reproduce
the clustering of shocks on the Euro overnight index average (EONIA). The key element of …

In this paper, we introduce a new model for the risk process based on general compound
Hawkes process (GCHP) for the arrival of claims. We call it risk model based on general …

Inhomogeneous Random Evolutions and Their Applications explains how to model various
dynamical systems in finance and insurance with non-homogeneous in time characteristics …

This paper proposes a Kalman filter formulation for parameter estimation of doubly
stochastic Poisson processes (DSPP) with stochastic affine intensities. To achieve this aim …

In this paper, we consider a Markovian, regime-switching model with jumps and its
application to bond pricing and insurance. The jumps in the model are described by a …

This paper proposes a continuous time model for interest rates, based on a bi-variate self
exciting point process. The two components of this process represent the global supply and …

Nous considérons le cas d'un assureur qui doit indemniser une banque à la suite de pertes
liées à un défaut de remboursement de ses emprunteurs. Les modèles couramment utilisés …

The construction of the likelihood equation in the point process models plays a very
important role, especially to obtain a good estimator of the parameters of a model. This …

In this paper, we study multiple shot noise process and its integral. We analyse these two
processes systematically for their theoretical distributions, based on the piecewise …