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A Cox process with log-normal intensity

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  • Basu, Sankarshan
  • Dassios, Angelos

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  • Basu, Sankarshan & Dassios, Angelos, 2002. "A Cox process with log-normal intensity," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 297-302, October.
  • Handle: RePEc:eee:insuma:v:31:y:2002:i:2:p:297-302
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    References listed on IDEAS

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    1. Ji-Wook Jang & Angelos Dassios, 2003. "Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity," Finance and Stochastics, Springer, vol. 7(1), pages 73-95.
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    Cited by:

    1. repec:wsi:ijtafx:v:21:y:2018:i:07:n:s0219024918500413 is not listed on IDEAS
    2. Braun, Alexander, 2011. "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 520-536.
    3. Alan De Genaro Dario & Adilson Simonis, 2011. "Properties of Doubly Stochastic Poisson Process with affine intensity," Papers 1109.2884, arXiv.org, revised Sep 2011.

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