A martingale approach to premium calculation principles in an arbitrage free market (Q758074): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 02:08, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A martingale approach to premium calculation principles in an arbitrage free market |
scientific article |
Statements
A martingale approach to premium calculation principles in an arbitrage free market (English)
0 references
1989
0 references
risk neutral probability distribution
0 references
predictable process
0 references
progressively equivalent probability distributions
0 references
arbitrage free model
0 references
martingale equivalent probability distributions
0 references
compound Poisson process
0 references
premium calculation principles
0 references