Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
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KeywordsThe Cox process; shot noise process; piecewise deterministic Markov process; stop-loss reinsurance contract; catastrophe insurance derivatives; equivalent martingale probability measure; Esscher transform;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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