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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 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
Library of Congress subject classification: H Social Sciences > HG Finance
Q Science > QA Mathematics
H Social Sciences > HA Statistics
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 07 Nov 2007
URL: http://eprints.lse.ac.uk/2850/

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