Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
Year of publication: |
2003-01
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Authors: | Dassios, Angelos ; Jang, Jiwook |
Institutions: | London School of Economics (LSE) |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in Finance and Stochastics, January, 2003, 7(1), pp. 73-95. ISSN: 1432-1122 |
Classification: | F3 - International Finance ; G3 - Corporate Finance and Governance ; C1 - Econometric and Statistical Methods: General |
Source: |
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