Pages that link to "Item:Q1424705"
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The following pages link to Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity (Q1424705):
Displaying 50 items.
- A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361) (← links)
- It's not now or never: implications of investment timing and risk aversion on climate adaptation to extreme events (Q323263) (← links)
- Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity (Q439235) (← links)
- Static-parameter estimation in piecewise deterministic processes using particle Gibbs samplers (Q457269) (← links)
- Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
- Joint survival probability via truncated invariant copula (Q509311) (← links)
- Pricing basket default swaps in a tractable shot noise model (Q553040) (← links)
- A note on first-passage times of continuously time-changed Brownian motion (Q654495) (← links)
- Pricing catastrophe swaps: a contingent claims approach (Q654831) (← links)
- Catastrophe risk management with counterparty risk using alternative instruments (Q661243) (← links)
- Precise large deviations for actual aggregate loss process in a dependent compound customer-arrival-based insurance risk model (Q889470) (← links)
- A risk model with renewal shot-noise Cox process (Q896743) (← links)
- Some limit results on the Haar-Fisz transform for inhomogeneous Poisson signals (Q957473) (← links)
- Indifference prices of structured catastrophe (CAT) bonds (Q998295) (← links)
- Analytical valuation of catastrophe equity options with negative exponential jumps (Q1003818) (← links)
- The distribution of the interval between events of a Cox process with shot noise intensity (Q1009401) (← links)
- A Cox process with log-normal intensity. (Q1413360) (← links)
- Utility indifference pricing of insurance catastrophe derivatives (Q1689030) (← links)
- Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities (Q1690473) (← links)
- Networks of \(\cdot /\mathrm{G}/\infty \) queues with shot-noise-driven arrival intensities (Q1696944) (← links)
- Cox processes for counting by detection (Q1735951) (← links)
- Combining perturbations and parameter variation to influence mean first passage times (Q1758085) (← links)
- Pricing catastrophe bonds with multistage stochastic programming (Q1789618) (← links)
- Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform (Q1888898) (← links)
- Shot-noise driven multivariate default models (Q1936462) (← links)
- A Markov modulated dynamic contagion process with application to credit risk (Q2000733) (← links)
- A bivariate shot noise self-exciting process for insurance (Q2015619) (← links)
- Catastrophic risks and the pricing of catastrophe equity put options (Q2051160) (← links)
- Shot-noise queueing models (Q2070672) (← links)
- Cluster point processes and Poisson thinning INARMA (Q2121089) (← links)
- Optimal reinsurance and investment under common shock dependence between financial and actuarial markets (Q2155853) (← links)
- Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity (Q2160048) (← links)
- Regime-switching shot-noise processes and longevity bond pricing (Q2257575) (← links)
- Valuation of contingent convertible catastrophe bonds -- the case for equity conversion (Q2273992) (← links)
- Risk processes with shot noise Cox claim number process and reserve dependent premium rate (Q2276212) (← links)
- On double-boundary non-crossing probability for a class of compound processes with applications (Q2282550) (← links)
- Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals (Q2314745) (← links)
- A micro-level claim count model with overdispersion and reporting delays (Q2374091) (← links)
- Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors (Q2374124) (← links)
- Pricing credit derivatives under a correlated regime-switching hazard processes model (Q2397578) (← links)
- Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times (Q2407766) (← links)
- Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model (Q2485477) (← links)
- Catastrophe options with stochastic interest rates and compound Poisson losses (Q2499827) (← links)
- Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model (Q2514669) (← links)
- Estimating doubly stochastic Poisson process with affine intensities by Kalman filter (Q2516623) (← links)
- Hawkes processes in insurance: risk model, application to empirical data and optimal investment (Q2665846) (← links)
- Moment generating function of non-Markov self-excited claims processes (Q2665866) (← links)
- Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions (Q2685515) (← links)
- A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk (Q2875524) (← links)
- Valuing clustering in catastrophe derivatives (Q2879024) (← links)
