Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform

Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models

Mark H. Davis · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1984 · 1.1K citations

Engineering, Industrial Engineering, Optimization +12

Stochastic Processes for Insurance and Finance

Larry Y. Tzeng, Volker Schmidt, Hanspeter Schmidli et al. · Journal of Risk & Insurance · 2001 · 863 citations

Business, Finance, Insurance +12

Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity

Angelos Dassios, Jiwook Jang · Finance and Stochastics · 2003 · 203 citations · Full text

Business, Economics, Finance +16

Martingales and insurance risk

Angelos Dassios, Paul Embrechts · Communications in Statistics Stochastic Models · 1989 · 186 citations

Business, Insurance, Mathematics +14

Actuarial bridges to dynamic hedging and option pricing

Hans U. Gerber, Elias S. W. Shiu · Insurance Mathematics and Economics · 1996 · 180 citations

Business, Finance, Financial Management +14