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
From MaRDI portal
Removed claim: author (P16): Item:Q1424704 |
Changed an Item |
||
| Property / author | |||
| Property / author: Ji-Wook Jang / rank | |||
Normal rank | |||
Revision as of 20:48, 28 February 2024
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)
0 references
25 August 2005
0 references
Kalman--Bucy filter
0 references
Gaussian process
0 references
Cox process
0 references
shot noise process
0 references
piecewise-deterministic Markov process theory
0 references
stop-loss reinsurance contract
0 references
