A Cox process with log-normal intensity.
From MaRDI portal
Publication:1413360
DOI10.1016/S0167-6687(02)00152-XzbMath1055.91038MaRDI QIDQ1413360
Sankarshan Basu, Angelos Dassios
Publication date: 16 November 2003
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (9)
CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY ⋮ Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process ⋮ A discrete-time risk model with Poisson ARCH claim-number process ⋮ A Cox model for gradually disappearing events ⋮ Log-Gaussian Cox processes in infinite-dimensional spaces ⋮ Pricing catastrophe swaps: a contingent claims approach ⋮ Model-based clustering of count processes ⋮ Joint distributions of some actuarial random vectors for the Cox risk model ⋮ Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
Cites Work
- Unnamed Item
- On Cox processes and credit risky securities
- Point processes and queues. Martingale dynamics
- An introduction to the theory of point processes
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- Log Gaussian Cox Processes
- A Space-Time Survival Point Process for a Longleaf Pine Forest in Southern Georgia
- Foundations of Modern Probability
- The value of an Asian option
This page was built for publication: A Cox process with log-normal intensity.
