Questions tagged [poisson]

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Marked poisson process vs compounded

I am a bit fuzzy about difference between compounded poisson process defined as $$\sum_{i=1}^{N_t} D_i $$ where $N_t$ is poisson process and $ D_i $ are iid random variables and marked poisson ...
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Poisson modelling of non-life insurance claims with reporting delay

I am considering a portfolio of car insurance policies. In order to capture the individual history (driving skills, age, etc.) of policyholders, it is assumed that the claim numbers $N(t)$ are modeled ...
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Optimal order placement in limit order markets

I am reading the paper: https://sci-hub.do/10.1080/14697688.2016.1190030 because I want to split the target shares in market order book and limit order book. I have a question when it comes to page 10 ...