Catastrophe insurance derivatives pricing using a Cox process with jump diffusion CIR intensity (Q4555851)
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scientific article; zbMATH DE number 6983643
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| 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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0.866802453994751
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0.7992017269134521
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0.7974716424942017
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0.7693840265274048
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0.7690942287445068
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