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A Cox process with log-normal intensity

Author

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  • Basu, Sankarshan
  • Dassios, Angelos

Abstract

In this paper we look at pricing stop-loss reinsurance contracts using an approximation technique similar to that of Basu (Ph.D. Thesis, London, 1999) and Rogers and Shi [Journal of Applied Probability 32 (4) (1995) 1077–1088] for processes with constant claims and the underlying stochastic intensity following a log-normal distribution. In particular, we look at the Cox process with the underlying stochastic intensity being log-normal.

Suggested Citation

  • Basu, Sankarshan & Dassios, Angelos, 2002. "A Cox process with log-normal intensity," LSE Research Online Documents on Economics 16375, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:16375
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    File URL: http://eprints.lse.ac.uk/16375/
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    Citations

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    Cited by:

    1. Yiqing Chen, 2019. "A Renewal Shot Noise Process with Subexponential Shot Marks," Risks, MDPI, vol. 7(2), pages 1-8, June.
    2. Alan Genaro & Adilson Simonis, 2015. "Estimating doubly stochastic Poisson process with affine intensities by Kalman filter," Statistical Papers, Springer, vol. 56(3), pages 723-748, August.
    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.
    4. Mario Teixeira Parente & Georg Brandl & Christian Franz & Uwe Stuhr & Marina Ganeva & Astrid Schneidewind, 2023. "Active learning-assisted neutron spectroscopy with log-Gaussian processes," Nature Communications, Nature, vol. 14(1), pages 1-15, December.
    5. Tin Lok James Ng & Thomas Brendan Murphy, 2021. "Model-based Clustering of Count Processes," Journal of Classification, Springer;The Classification Society, vol. 38(2), pages 188-211, July.
    6. Jang, Jiwook & Qu, Yan & Zhao, Hongbiao & Dassios, Angelos, 2023. "A Cox model for gradually disappearing events," LSE Research Online Documents on Economics 112754, London School of Economics and Political Science, LSE Library.
    7. Jiwook Jang & Jong Jun Park & Hyun Jin Jang, 2018. "Catastrophe Insurance Derivatives Pricing Using A Cox Process With Jump Diffusion Cir Intensity," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-20, November.
    8. Braun, Alexander, 2011. "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 520-536.

    More about this item

    Keywords

    Cox process Stop-loss reinsurance Ornstein–Uhlenbeck process;

    JEL classification:

    • F3 - International Economics - - International Finance
    • G3 - Financial Economics - - Corporate Finance and Governance

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