almost sure central limit theorem – 345
AR(1)-characterisation – 195
asymptotic covariance matrix estimation – 495
asymptotic distribution – 209, 377
Bernstein function – 419
bi-seasonal model – 133
BINAR – 227
BSDEs – 479
central limit theorem – 251, 443
change of time – 81, 419
chaos expansion – 145
Clayton copula – 227
compound Poisson process – 81, 419
confidence ellipsoid – 495
copula – 227
count data – 227
coupling – 333
covariance functions – 195
Cox proportional hazards model – 209
dependent claims – 133
digital option – 81
discrete time risk model – 133
divergence form – 345
drift parameter estimation – 397
errors-in-variables model – 495
exact marginal probability distribution – 3
expected discounted dividend payments – 285
FGM copula – 227
finite mixture model – 495
Fourier transform – 443
fractional Brownian motion – 13, 57, 377, 397
fractional Cox–Ingersoll–Ross process – 13
fractional Laplacian – 397
fractional Vasicek model – 377
Frank copula – 227
fundamental solution – 345
gamma function – 311
Gauss hypergeometric function – 419
generated σ-field – 269
Gerber–Shiu function – 285
Green’s function – 57
harmonic numbers – 419
hypergeometric function – 81
independent complements – 269
infinitely divisible logarithmic series distribution – 419
infinitely divisible random measure – 443
insurance model – 109
intersection of σ-fields – 269
jackknife – 495
Kolmogorov norm – 109
lattice of complete σ-fields – 269
Lévy density – 443
Lévy process – 81, 419
Lévy process; moving average – 443
Lévy processes – 479
local norm – 109
Malliavin calculus – 145
Markov chain – 109, 333
maximum likelihood estimation – 377
mild solution – 57
mixed Poisson processes – 41
mixture with varying concentrations – 495
moderate deviations principle – 167
moment generating function – 377
moment inequalities – 251
multi-layer dividend strategy – 285
negative binomial distribution – 227
non-ergodic process – 377
non-proportional hazards – 209
non-uniform estimate – 109
nonparametric estimation – 495
numerical approximation – 145
order statistics property – 41
orthogonal regression – 495
partial Bell polynomials – 419
pathwise Stratonovich integral – 13
piecewise constant coefficients – 345
piecewise integro-differential equation – 285
Poisson – 227
predictable representation property – 479
preferential attachment – 311
q variation – 397
random fields – 251
random graph – 311
random walk – 333
recursive formula – 133
renewal theory – 333
right censored data – 209
risk model with stochastic premiums – 285
ruin probability – 133, 285
run-and-tumble models – 3
scale free – 311
signed compound Poisson approximation – 109
space-time white noise – 167
stationary processes – 195
stationary random field – 443
Stein-Malliavin calculus – 345
Stirling numbers – 419
stochastic Burgers equation – 167
stochastic differential equation – 13
stochastic differential equations – 145
stochastic heat equation – 397
stochastic partial differential equation – 57
stochastic partial differential equations – 167, 345
Taylor’s power law – 311
telegraph equation with time-dependent velocity – 3
time-fractional Poisson process – 41
total variation norm – 109
utility maximization – 479
variance-gamma process – 81
weak convergence method – 167
Yule model – 41
