Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts (Q5312843)
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scientific article; zbMATH DE number 2199095
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts |
scientific article; zbMATH DE number 2199095 |
Statements
Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts (English)
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25 August 2005
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Kalman--Bucy filter
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Gaussian process
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Cox process
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shot noise process
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piecewise-deterministic Markov process theory
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stop-loss reinsurance contract
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