A Cox process with log-normal intensity.

DOI10.1016/S0167-6687(02)00152-XzbMATH Open1055.91038MaRDI QIDQ1413360FDOQ1413360

Authors: Sankarshan Basu, Angelos Dassios 

Publication date: 16 November 2003

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

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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)

Cites Work

• Log Gaussian Cox Processes
• The value of an Asian option
• Foundations of Modern Probability
• An introduction to the theory of point processes
• Title not available (Why is that?)
• Point processes and queues. Martingale dynamics
• On Cox processes and credit risky securities
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• A Space-Time Survival Point Process for a Longleaf Pine Forest in Southern Georgia

Cited In (11)

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

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