  We study the obtainment of closed-form formulas for the distribution of the
jumps of a doubly-stochastic Poisson process. The problem is approached in two
ways. On the one hand, we translate the problem to the computation of multiple
derivatives of the Hazard process cumulant generating function; this leads to a
closed-form formula written in terms of Bell polynomials. On the other hand,
for Hazard processes driven by L\'evy processes, we use Malliavin calculus in
order to express the aforementioned distributions in an appealing recursive
manner. We outline the potential application of these results in credit risk.
