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): Difference between revisions

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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

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instance of

scholarly article

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title

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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zbMATH Open document ID

1076.62093

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DOI

10.1239/jap/1110381373

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Journal of Applied Probability

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publication date

25 August 2005

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Mathematics Subject Classification ID

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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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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1239/jap/1110381373

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Generalized Poisson Models and their Applications in Insurance and Finance

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The virtual waiting-time and related processes

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Q5526518

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Martingales and insurance risk

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Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity

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Doubly stochastic Poisson processes

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Aspects of risk theory

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Q4229047

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Q5532151

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Explosive Poisson shot noise processes with applications to risk reserves

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Q4144493

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On Cox processes and credit risky securities

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Q4139359

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Q3945277

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Stochastic differential equations. An introduction with applications.

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Q4230625

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Conditional Poisson processes

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Q4166000

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Sitelinks

Mathematics(1 entry)

mardi Publication:5312843

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