Coventry, CV47AL
United Kingdom
University of Warwick - Department of Statistics
COVID-19; SARS-CoV-2; Coronavirus; Stochastic intensity model; Stochastic epidemic model; Two-phase dynamic contagion process
Exact simulation, Monte Carlo simulation, Jump-diffusion models, Stochastic volatility models, Shot-noise process, Contemporaneous jumps, Cojumps, Shot-noise cojumps, Option pricing, Systemic risk
Contagion risk, Portfolio risk management, Monte Carlo simulation, Exact simulation, Exact decomposition, Self-exciting jump process with non-Gaussian Ornstein-Uhlenbeck intensity, Point process, Branching process, Stochastic intensity model, Non-Gaussian Ornstein-Uhlenbeck process,
Point process, Cox process, Cox process with piecewise-constant decreasing intensity, gradually disappearing events, survival probability, competing risks, stop-loss reinsurance
Monte Carlo Simulation, Exact Simulation, Backward Recursive Scheme, Stable Distribution, Tempered Stable Distribution; Exponentially Tilted Stable Distribution, L'evy Process, L'evy Subordinator, Leptokurtosis