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

By Angelos Dassios and J.W. Jang
Topics: HG Finance, QA Mathematics, HA Statistics
Year: 2005
DOI identifier: 10.1239/jap
OAI identifier: oai:eprints.lse.ac.uk:2850
Provided by: LSE Research Online
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