CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY
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Publication:4555851
DOI10.1142/S0219024918500413zbMath1417.91273MaRDI QIDQ4555851
Hyun Jin Jang, Jong Jun Park, Ji-Wook Jang
Publication date: 23 November 2018
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024918500413
Laplace transform; characteristic function; Cox process; insurance derivatives; integrated jump diffusion CIR process
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
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