Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
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Publication:1424705
DOI10.1007/s007800200079zbMath1039.91038OpenAlexW2055390972MaRDI QIDQ1424705
Publication date: 16 March 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/2849/
Cox processEsscher transformpiecewise deterministic Markov processshot noise processcatastrophe insurance derivativesequivalent martingale probability measurestop-loss reinsurance contract
Stationary stochastic processes (60G10) Stochastic models in economics (91B70) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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