Jang, Ji-Wook; Dassios, Angelos - In: Finance and Stochastics 7 (2003) 1, pp. 73-95
We use the Cox process (or a doubly stochastic Poisson process) to model the claim arrival process for catastrophic events. The shot noise process is used for the claim intensity function within the Cox process. The Cox process with shot noise intensity is examined by piecewise deterministic...
