A Cox process with log-normal intensity.

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)

zbMATH Keywords

Ornstein-Uhlenbeck process; Stop-loss reinsurance

Mathematics Subject Classification ID

60G15: Gaussian processes

60G35: Signal detection and filtering (aspects of stochastic processes)

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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