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Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity |
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| Authors: | Angelos Dassios Ji-Wook Jang |
| Affiliation: | (1) Department of Statistics, London School of Economics and Political Science, Houghton Street, London WC2A 2AE, United Kingdom (e-mail: A.Dassios@lse.ac.uk) , GB;(2) Actuarial Studies, Faculty of Commerce and Economics, University of New South Wales, Sydney, NSW 2052, Australia (e-mail: J.Jang@unsw.edu.au) , AU |
| Abstract: | |
| Keywords: | : The Cox process shot noise process piecewise deterministic Markov process stop-loss reinsurance contract catastrophe insurance derivatives equivalent martingale probability measure Esscher transform |
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