Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Jang, J.W. (2005) Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts. Journal of Applied Probability, 42 (1). pp. 93-107. ISSN 0021-9002

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Item Type:	Article
Official URL:	http://projecteuclid.org/DPubS?service=UI&version=...
Additional Information:	2007 © Applied Probability Trust
Divisions:	Statistics
Subjects:	H Social Sciences > HG Finance Q Science > QA Mathematics H Social Sciences > HA Statistics
Date Deposited:	07 Nov 2007
Last Modified:	11 Dec 2024 22:55
URI:	http://eprints.lse.ac.uk/id/eprint/2850

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