Stochastic processes in insurance and finance
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A method to compute the transition function of a piecewise deterministic Markov process with application to reliability
2008, Statistics and Probability LettersCitation Excerpt :Lapeyre and Pardoux (2003) worked with transport processes, which are a special case of PDMP, in order to give a stochastic interpretation of the transport equations used in physics for the modeling of the motion of particles. This family of processes are nowadays much used in several applications, e.g., reliability analysis (Devooght and Smidts, 1996) or insurance (Embrechts et al., 2001). In Chiquet and Limnios (2006) and Chiquet et al. (in press), we took advantage of a PDMP for the modeling of degradation mechanisms arising in a structure subject to random environmental effects.
Study of a risk model based on the entrance process
2005, Statistics and Probability LettersA stochastic-statistical residential burglary model with independent Poisson clocks
2020, European Journal of Applied MathematicsA Stochastic-Statistical Residential Burglary Model with Finite Size Effects
2019, Modeling and Simulation in Science, Engineering and Technology
Copyright © 2001 Published by Elsevier B.V.