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)
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scientific article; zbMATH DE number 2199095
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| 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)
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25 August 2005
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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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0.7798946499824524
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0.7495747208595276
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0.7425556182861328
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0.7317799925804138
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0.7302477359771729
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