A Cox process with log-normal intensity

Sankarshan Basu and Angelos Dassios

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

Keywords: Cox; process; Stop-loss; reinsurance; Ornstein–Uhlenbeck; process (search for similar items in EconPapers)
JEL-codes: F3 G3 (search for similar items in EconPapers)
Date: 2002-10-18
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Citations: View citations in EconPapers (8)

Published in Insurance: Mathematics and Economics, 18, October, 2002, 31(2), pp. 297-302. ISSN: 0167-6687

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