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
| 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/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/2850/ |
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