A class of complete benchmark models with intensity-based jumps (Q4819433): Difference between revisions

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Latest revision as of 20:03, 6 June 2024

scientific article; zbMATH DE number 2103343
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English
A class of complete benchmark models with intensity-based jumps
scientific article; zbMATH DE number 2103343

    Statements

    A class of complete benchmark models with intensity-based jumps (English)
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    24 September 2004
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    benchmark model
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    jump diffusions
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    growth-optimal portfolio
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    event risk premium
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    fair pricing
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    actuarial pricing
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    insurance
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    Identifiers

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