Fractional Poisson processes represent an innovative extension of the classical Poisson process, wherein the interarrival times follow heavy-tailed distributions often characterised by the ...

We describe an Euler scheme to approximate solutions of Lévy driven stochastic differential equations (SDEs) where the grid points are given by the arrival times of a Poisson process and thus are ...

This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Data Science, BSc in Financial Mathematics and Statistics, BSc in Mathematics with Data Science, BSc ...

Stochastic processes form the backbone of modern probability theory, describing systems that evolve randomly over time or space. They are instrumental in areas ranging from statistical physics to ...

We investigate the valuation and hedging of catastrophe options, whose claim arrival process is modeled by the Cox process or a doubly stochastic Poisson process. Employing the non-arbitrage principle ...