1 |
Pricing of catastrophe reinsurance & derivatives using
the Cox process with shot noise intensity. (published in Finance
& Stochastics, Vol 7 No 1, 73-95, 2003). |
Dassios, A. and Jang, J. (2000) |
|
2 |
Kalman-Bucy filtering
for linear system driven by the Cox process with shot noise
intensity and its application to the pricing of reinsurance
contracts (be appeared in Journal of Applied Probability,
Vol 42, No. 1, 2005).
|
Dassios, A., and J Jang, (2000) |
|
