A Cox process with log-normal intensity

In this paper we look at pricing stop-loss reinsurance contracts using an approximation technique similar to that of Basu (Ph.D. Thesis, London, 1999) and Rogers and Shi [Journal of Applied Probability 32 (4) (1995) 1077–1088] for processes with constant claims and the underlying stochastic intensity following a log-normal distribution. In particular, we look at the Cox process with the underlying stochastic intensity being log-normal.

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Year of publication:	2002-10-18
Authors:	Basu, Sankarshan ; Dassios, Angelos
Institutions:	London School of Economics (LSE)
Keywords:	Cox process Stop-loss reinsurance Ornstein–Uhlenbeck process

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	Published in Insurance: Mathematics and Economics, 18, October, 2002, 31(2), pp. 297-302. ISSN: 0167-6687
Classification:	F3 - International Finance ; G3 - Corporate Finance and Governance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010746132