A Cox process with log-normal intensity

Basu, Sankarshan and Dassios, Angelos (2002) A Cox process with log-normal intensity. Insurance: mathematics and economics, 31 (2). pp. 297-302. ISSN 0167-6687

Preview

PDF Download (264Kb) | Preview

• LSE expert's profile

• Published item via DOI

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
Uncontrolled Keywords:	Cox process Stop-loss reinsurance Ornstein–Uhlenbeck process
Library of Congress subject classification:	H Social Sciences > HG Finance
Sets:	Departments > Statistics
Rights:	http://www.lse.ac.uk/library/rights/LSERO.htm
URL:	http://eprints.lse.ac.uk/16375/

Actions (login required)

Record administration - authorised staff only