2017/02/01 by Michael Chiu, Chiu, Michael, Kenneth R. Jackson +3
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Probability and Risk Models #Statistical Methods and Inference
paper · pdf · doi:10.48550/arxiv.1702.00376
openalex publication_date 2017/02/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Multivariate Poisson processes have many important applications in Insurance, Finance, and many other areas of Applied Probability. In this paper we study the backward simulation approach to modelling multivariate Poisson processes and analyze the connection to the extreme measures describing the joint distribution of the processes at the terminal simulation time.