On the modelling of nested risk-neutral stochastic processes with applications in insurance (Q5373909): Difference between revisions

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Revision as of 09:51, 15 July 2024

scientific article; zbMATH DE number 6856769
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English
On the modelling of nested risk-neutral stochastic processes with applications in insurance
scientific article; zbMATH DE number 6856769

    Statements

    On the modelling of nested risk-neutral stochastic processes with applications in insurance (English)
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    6 April 2018
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    state space hidden Markov
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    nested simulations
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    risk-neutral valuation
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    robust calibration
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    Heston
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    solvency II
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    Identifiers

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