34 citations · 46 across the 17 of their papers we have counts for
4 papers · 1 filter
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…
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…
No arbitrage without semimartingales
Robert A. Jarrow, Philip Protter, Hasanjan Sayit
We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In parti…