scholarly journals Noise Intensity-Intensity Correlations and the Fourth Cumulant of Photo-assisted Shot Noise

2013 ◽  
Vol 3 (1) ◽  
Author(s):  
Jean-Charles Forgues ◽  
Fatou Bintou Sane ◽  
Simon Blanchard ◽  
Lafe Spietz ◽  
Christian Lupien ◽  
...  
Keyword(s):  
Shot Noise ◽  
Noise Intensity

A QUADRATIC HEDGING APPROACH TO COMPARISON OF CATASTROPHE INDICES

2012 ◽  
Vol 15 (04) ◽  
pp. 1250030 ◽  
Author(s):  
RAGNAR NORBERG ◽  
OKSANA SAVINA
Keyword(s):  
Poisson Process ◽  
Shot Noise ◽  
Noise Intensity ◽  
Compound Poisson Process ◽  
Loss Process ◽  
Doubly Stochastic ◽  
Optimal Trading ◽  
Price Process ◽  
Quadratic Hedging ◽  
The Mean

The present study addresses the problem of designing a catastrophe derivative that insurers can use to hedge catastrophe-related losses in an incomplete market. The losses are modeled as a doubly stochastic compound Poisson process with shot-noise intensity. The hedging capability of a derivative is measured by the reduction of the mean squared hedging error resulting from optimal trading in the derivative. A general form of this measure is obtained in terms of the coefficients in the martingale dynamics of the loss process and the price process of the derivative. Six specific derivatives, with pay-offs depending in different ways on available catastrophe indices and portfolio data, are compared by the proposed criterion.

scholarly journals The Distribution of the Interval between Events of a Cox Process with Shot Noise Intensity

2008 ◽  
Vol 2008 ◽  
pp. 1-14 ◽  
Author(s):  
Angelos Dassios ◽  
Jiwook Jang
Keyword(s):  
Laplace Transform ◽  
Generating Function ◽  
Shot Noise ◽  
Noise Intensity ◽  
Probability Generating Function ◽  
Cox Process ◽  
Noise Process ◽  
Shot Noise Process ◽  
Piecewise Deterministic Markov Processes ◽  
The Laplace Transform

Applying piecewise deterministic Markov processes theory, the probability generating function of a Cox process, incorporating with shot noise process as the claim intensity, is obtained. We also derive the Laplace transform of the distribution of the shot noise process at claim jump times, using stationary assumption of the shot noise process at any times. Based on this Laplace transform and from the probability generating function of a Cox process with shot noise intensity, we obtain the distribution of the interval of a Cox process with shot noise intensity for insurance claims and its moments, that is, mean and variance.

Sub-shot-noise intensity fluctuations in four-wave mixing

1990 ◽  
Vol 41 (11) ◽  
pp. 6385-6392 ◽  
Author(s):  
Weiping Zhang ◽  
Daniel F. Walls
Keyword(s):  
Shot Noise ◽  
Noise Intensity ◽  
Four Wave Mixing ◽  
Wave Mixing ◽  
Intensity Fluctuations

Experimental demonstration of sub-shot-noise intensity correlations in an intense twin beam

2008 ◽  
Vol 160 (1) ◽  
pp. 33-41 ◽  
Author(s):  
M. Bondani ◽  
A. Allevi ◽  
G. Zambra ◽  
A. Andreoni ◽  
J. Peřina ◽  
...  
Keyword(s):  
Shot Noise ◽  
Noise Intensity ◽  
Experimental Demonstration ◽  
Twin Beam

scholarly journals Population viewpoint on Hawkes processes

2016 ◽  
Vol 48 (2) ◽  
pp. 463-480 ◽  
Author(s):  
Alexandre Boumezoued
Keyword(s):  
Shot Noise ◽  
Noise Intensity ◽  
Counting Processes ◽  
Hawkes Process ◽  
Process Definition ◽  
Hawkes Processes ◽  
Fertility Function ◽  
Age Pyramid ◽  
Intensity Process ◽  
New Distribution

AbstractIn this paper we focus on a class of linear Hawkes processes with general immigrants. These are counting processes with shot-noise intensity, including self-excited and externally excited patterns. For such processes, we introduce the concept of the age pyramid which evolves according to immigration and births. The virtue of this approach that combines an intensity process definition and a branching representation is that the population age pyramid keeps track of all past events. This is used to compute new distribution properties for a class of Hawkes processes with general immigrants which generalize the popular exponential fertility function. The pathwise construction of the Hawkes process and its underlying population is also given.

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