Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform (Q1888898): Difference between revisions
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Revision as of 00:55, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform |
scientific article |
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Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform (English)
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29 November 2004
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Aggregate accumulated claims
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Shot noise process
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Extreme value distributions
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Equivalent martingale probability measure
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The Esscher transform
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Arbitrage-free premium
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