Abstract:

The second moment of self-exciting filter Poisson process is studied, and then the conclusions about the second moment of self-exciting filter Poisson process are applied to the marked point process of the censored δ-shock model and customer lifetime value (CLV). The second moment of the marked point process of the censored δ-shock model and CLV are obtained.

Key words: self-exciting filtered Poisson process; second moment; censored δ-shock model; customer lifetime value