We discuss in detail a procedure to produce two Poisson processes M(t), N(t) associated to positively correlated, self-decomposable, exponential renewals. The main result of this paper is a closed, elementary form for the joint distribution pm,n(s, t) of the pair (M(s), N(t)): this turns out to be instrumental to produce explicit algorithms with applications to option pricing, as well as to credit and insurance risk modeling, that will be discussed in a separate paper

Correlated Poisson processes and self-decomposable laws

CUFARO PETRONI, Nicola;SABINO, PIERGIACOMO;
2015

Abstract

We discuss in detail a procedure to produce two Poisson processes M(t), N(t) associated to positively correlated, self-decomposable, exponential renewals. The main result of this paper is a closed, elementary form for the joint distribution pm,n(s, t) of the pair (M(s), N(t)): this turns out to be instrumental to produce explicit algorithms with applications to option pricing, as well as to credit and insurance risk modeling, that will be discussed in a separate paper
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11586/145920
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