3
$\begingroup$

I've seen a couple of descriptions of the basic statistics of a compound Poisson process, basically just simple statements about how to compute the mean and variance given the mean and variance of the underlying processes. Unfortunately I haven't found anything which I feel comfortable citing in a professional context.

Can anybody recommend a good desk reference that would cover compound Poisson processes/distributions?

Preferably it would be general enough to serve as a good desk reference on statistics for an engineer (with a tendency to do a lot of numerical analysis), rather than focusing purely on compound processes. Bonus points if it also gives a good outline of Bayesian inference in general.

$\endgroup$
2
$\begingroup$

This book on Non-Life Insurance Mathematics might actually work for you. It is oriented towards applications, though not engineering applications, but it is completely theoretically sound. If I am not mistaken, there is something in the book on Bayes estimation too.

Note that you should look for the Cramèr-Lundberg model in the context of the book to find the compound Poisson process.

| cite | improve this answer | |
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.