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ArticleA Cox process with log-normal intensity

Sankarshan Basu2002

OA

Articlebronze2002

A Cox process with log-normal intensity

Sankarshan Basu · Angelos Dassios

26 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Stochastic processes and financial applications

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1981Point Processes and Queues 1998On cox processes and credit risky securities 1983Point Processes and Queues: Martingale Dynamics.1995The value of an Asian option 2003Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity

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Year2002

Typearticle

Published2002-10-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations26

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/s0167-6687(02)00152-x

openalex_workW2084437243

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