A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance
Year of publication: |
2019
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Authors: | Dassios, Angelos ; Jang, Jiwook ; Zhao, Hongbiao |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 7.2019, 4/103, p. 1-18
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Subject: | aggregate claims | CIR process | contagion risk | default-free bond pricing | hawkes process | insurance premium | self-exciting process | Theorie | Theory | Versicherungsbeitrag | Insurance premium | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Risikoprämie | Risk premium | Versicherung | Insurance | Risikomodell | Risk model |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks7040103 [DOI] hdl:10419/257941 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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