Some theoretical results about the distribution of a doubly stochastic Poisson process.
Francisco Jiménez Gómez, Mariano J. Valderrama Bonnet (1992)
Extracta Mathematicae
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Francisco Jiménez Gómez, Mariano J. Valderrama Bonnet (1992)
Extracta Mathematicae
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Krzysztof Burnecki, Grzegorz Kukla (2003)
Applicationes Mathematicae
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We apply the results of Baryshnikov, Mayo and Taylor (1998) to calculate non-arbitrage prices of a zero-coupon and coupon CAT bond. First, we derive pricing formulae in the compound doubly stochastic Poisson model framework. Next, we study 10-year catastrophe loss data provided by Property Claim Services and calibrate the pricing model. Finally, we illustrate the values of the CAT bonds tied to the loss data.
Xavier Bardina, Carles Rovira, Samy Tindel (2002)
Applicationes Mathematicae
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We find the asymptotic behavior of P(||X-ϕ|| ≤ ε) when X is the solution of a linear stochastic differential equation driven by a Poisson process and ϕ the solution of a linear differential equation driven by a pure jump function.
Borisenko, O.V., Borisenko, A.D., Malyshev, I.G. (1994)
Journal of Applied Mathematics and Stochastic Analysis
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Nicolas Privault (1998)
Banach Center Publications
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The aim of this paper is the study of a non-commutative decomposition of the conservation process in quantum stochastic calculus. The probabilistic interpretation of this decomposition uses time changes, in contrast to the spatial shifts used in the interpretation of the creation and annihilation operators on Fock space.
P. Todorović (1967)
Matematički Vesnik
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Raghavendra Krishna, Varahamurti (1967)
Portugaliae mathematica
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J. Gani (1963)
Studia Mathematica
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C. Ryll-Nardzewski (1953)
Studia Mathematica
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Z. A. Ivković (1967)
Matematički Vesnik
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Z. A. Ivković (1968)
Matematički Vesnik
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