Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts

Dassios, A.ORCID logo & Jang, J. (2005). Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts. Journal of Applied Probability, 42(1), 93-107. https://doi.org/10.1239/jap/1110381373
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Item Type Article
Copyright holders 2007 © Applied Probability Trust
Departments LSE > Academic Departments > Statistics
DOI 10.1239/jap/1110381373
Date Deposited 07 Nov 2007
URI https://researchonline.lse.ac.uk/id/eprint/2850

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