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Everything about Compound Poisson process
Random process in probability theory
A compound Poisson process is a continuous-time stochastic process with jumps. The jumps arrive randomly according to a Poisson process and the size of the jumps is also random, with a specified probability distribution. To be precise, a compound Poisson process, parameterised by a rate and jump size distribution G, is a process given by Wikipedia →
🧠Start here: a 6-step reading path
- Read the overview: Compound Poisson processA 5-minute orientation
- Skim a recent paper: Application of Compound Poisson Process in Pricing Catastrophe Bonds: A Systematic Literature ReviewInfluential work since 2022
- Pick up a classic book: Loss ModelsThe most-reprinted book on the subject
- Read the landmark paper: A Compound Poisson Process for Relaxing the Molecular ClockCited 267 times
- Go sideways: Compound Poisson distributionA closely related topic
- Go sideways: Poisson binomial distributionA closely related topic
đź“– Definitions
No dictionary entry for this exact phrase.
🗂️ The subject at a glance
🏆 Landmark papers (most cited)
A Compound Poisson Process for Relaxing the Molecular Clock
Maximum Likelihood Estimation of a Compound Poisson Process
Compound Poisson and Poisson Process Approximations for Occurrences of Multiple Words in Markov Chains
Compound Poisson Process with a Poisson Subordinator
Boundary Problems for a Compound Poisson Process
Poisson, compound poisson and process approximations for testing statistical significance in sequence comparisons
The compound Poisson immigration process subject to binomial catastrophes
On the distribution of a randomly discounted compound Poisson process
🆕 Influential since 2022
Application of Compound Poisson Process in Pricing Catastrophe Bonds: A Systematic Literature Review
Some Compound Fractional Poisson Processes
An explicit compound Poisson process-based shock deterioration model for reliability assessment of aging structures
Non-central moderate deviations for compound fractional Poisson processes
On the compound Poisson phase-type process and its application in shock models
đź“š Books worth reading
Loss ModelsStuart A. Klugman · 2009
Bayesian analysis of stochastic process modelsFabrizio Ruggeri · 2012
An Introduction to Probability Theory and Its Applications [2/2]William Feller · 1966
Ruin probabilitiesSøren Asmussen · 2000
An introduction to Stein's methodA. D. Barbour, Louis H. Y. Chen · 2005- 📕Discrete compound poisson processes and tables of the geometric poisson distributionCraig C. Sherbrooke · 1966
Optimal and suboptimal filtering for time-invariant systems excited by compound poisson processesRobert Michael Rogers · 1983
Families of components, and systems, exposed to a compound poisson damage processJames Daniel Esary · 1973
Ranked by number of editions on Open Library, a rough measure of how lasting a book is.
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