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, Angelos; and Jang, J.W. 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). pp. 93-107. ISSN 0021-9002

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Item Type	Article
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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• Dassios, Angelos
• Jang, J.W.

• HG Finance
• QA Mathematics
• HA Statistics

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