Basu, Sankarshan and Dassios, Angelos 
ORCID: 0000-0002-3968-2366
(2002)
A Cox process with log-normal intensity.
Insurance: Mathematics and Economics, 31 (2).
pp. 297-302.
ISSN 0167-6687
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Identification Number: 10.1016/S0167-6687(02)00152-X
Abstract
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.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.elsevier.com/wps/find/journaldescriptio... |
| Additional Information: | © 2002 Elsevier |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HG Finance |
| Date Deposited: | 03 Oct 2008 10:44 |
| Last Modified: | 28 Oct 2024 04:57 |
| URI: | http://eprints.lse.ac.uk/id/eprint/16375 |
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