Catastrophe insurance derivatives pricing using a Cox process with jump diffusion CIR intensity
Jiwook Jang, Jong Jun Park, Hyun Jin Jang
| Year of publication: |
November 2018
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|---|---|
| Authors: | Jang, Jiwook ; Park, Jong Jun ; Jang, Hyun Jin |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 7, p. 1-20
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| Subject: | Cox process | integrated jump diffusion CIR process | Laplace transform | characteristic function | insurance derivatives | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Elementarschadenversicherung | Natural disaster insurance | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500413 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011956976