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A Cox process with log-normal intensity

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


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:
Additional Information: © 2002 Elsevier
Divisions: Statistics
Subjects: H Social Sciences > HG Finance
Date Deposited: 03 Oct 2008 10:44
Last Modified: 15 May 2024 23:59

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