Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
Angelos Dassios; Ji-Wook Jang
| Year of publication: |
2003
|
|---|---|
| Authors: | Dassios, Angelos ; Jang, Ji-Wook |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 7.2003, 1, p. 73-95
|
| Subject: | Elementarschadenversicherung | Natural disaster insurance | Rückversicherung | Reinsurance | Derivat | Derivative | Markov-Kette | Markov chain | Theorie | Theory | Martingal | Martingale |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Finance and stochastics |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001724642