Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds
Katia Colaneri, Rüdiger Frey
| Year of publication: |
2021
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|---|---|
| Authors: | Colaneri, Katia ; Frey, Rüdiger |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 101.2021, 2, p. 498-507
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| Subject: | CAT bonds | Cauchy problem | Classical solution | Markov modulated marked point process | Partial integro differential equations | Theorie | Theory | Markov-Kette | Markov chain | Anleihe | Bond | Stochastischer Prozess | Stochastic process | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2021.09.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012793939