5 papers
Ruin theory incorporating MIPP-type jumps
Dongdong Hu, Hasanjan Sayit
The paper studies the ruin probability for an insurer's surplus process when claim arrivals are governed by a Multiply Iterated Poisson Process (MIPP). This framework generalizes t…
Beyond Lognormal Sums: A Four-Moment Probability Framework for Basket and Spread Option Pricing
Dongdong Hu, Hasanjan Sayit, Steve Tchoneteck +1
Basket options are difficult to value under correlated lognormal dynamics because weighted sums and differences of lognormal variables have no tractable distribution. This paper de…
On certain integral functionals of integer-valued subordinators
Dongdong Hu, Hasanjan Sayit, Weixuan Xia
It is known that the exponential functional of a Poisson process admits a probability density function in the form of an infinite series. In this paper, we obtain an explicit expre…
Iterated Poisson Processes for Catastrophic Risk Modeling in Ruin Theory
Dongdong Hu, Svetlozar T. Rachev, Hasanjan Sayit +2
This paper studies the properties of the Multiply Iterated Poisson Process (MIPP), a stochastic process constructed by repeatedly time-changing a Poisson process, and its applicati…
Revisiting the identification problem of a function by the ratio of Laplace transforms of powers
Dongdong Hu, Linglong Yuan, Minzhi Zhao
The ratio of Laplace transforms of powers of a function arises in the context of auction theory. The question whether a function is uniquely identified by this ratio has been answe…