A Cox process with log-normal intensity.

DOI10.1016/S0167-6687(02)00152-XMaRDI QIDQ1413360zbMATH OpenFDO

Authors Sankarshan Basu, Angelos Dassios

Publication date 16 November 2003

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Ornstein-Uhlenbeck processStop-loss reinsurance

Mathematics Subject Classification ID

Gaussian processes (60G15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites work

• scientific article; zbMATH DE number 3114766 (Why is no real title available?)
• A Space-Time Survival Point Process for a Longleaf Pine Forest in Southern Georgia
• An introduction to the theory of point processes
• Foundations of Modern Probability
• Log Gaussian Cox Processes
• On Cox processes and credit risky securities
• Point processes and queues. Martingale dynamics
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• The value of an Asian option

Cited in

(11)

• Model-based clustering of count processes
• Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process
• Simulation of doubly stochastic Poisson point processes and application to nucleation of nanocrystals and evaluation of exciton fluxes
• A Cox model for gradually disappearing events
• Log-Gaussian Cox processes in infinite-dimensional spaces
• Joint distributions of some actuarial random vectors for the Cox risk model
• Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
• A discrete-time risk model with Poisson ARCH claim-number process
• Pricing catastrophe swaps: a contingent claims approach
• Catastrophe insurance derivatives pricing using a Cox process with jump diffusion CIR intensity
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity

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