Backward simulation of multivariate mixed Poisson processes-Reference-Cited by-同舟云学术

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Backward simulation of multivariate mixed Poisson processes

Published:2021-07-01 Issue:17 Volume:91 Page:3549-3572
ISSN:0094-9655
Container-title:Journal of Statistical Computation and Simulation
language:en
Short-container-title:Journal of Statistical Computation and Simulation

Author:

Chiu Michael¹^ORCID,Jackson Kenneth R.¹^ORCID,Kreinin Alexander¹

Affiliation:

1. Department of Computer Science, University of Toronto, Toronto, ON, Canada

Funder

Natural Sciences and Engineering Research Council (NSERC) of Canada

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/00949655.2021.1943387

Reference35 articles.

1. LDA at work: Deutsche Bank's approach to quantifying operational risk

2. A backward construction and simulation of correlated Poisson processes

3. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics

4. Negative binomial processes

5. Multivariate models for operational risk

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