Core engine for the Compound Poisson aggregate loss model. lam : Poisson arrival rate (claims per unit time). t : Observation window length. severity_fn : (n, rng) -> ndarray of shape (n,). See ...
N(t) is a Poisson process with rate lambda (interarrival times are exponential) Xi are independent exponential random variables with rate mu N(t) and Xi are independent The goal is to derive the ...
This paper presents new results on the nonhomogeneous bivariate compound Poisson process with a short-term periodic intensity function. The dependence between margins is modeled using the Lévy copula.
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