CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY (Q4555851): Difference between revisions

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Latest revision as of 15:39, 14 September 2024

scientific article; zbMATH DE number 6983643
Language Label Description Also known as
English
CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY
scientific article; zbMATH DE number 6983643

    Statements

    CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY (English)
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    23 November 2018
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    Cox process
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    integrated jump diffusion CIR process
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    Laplace transform
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    characteristic function
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    insurance derivatives
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    Identifiers

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