A martingale approach to premium calculation principles in an arbitrage free market (Q758074): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/0167-6687(89)90002-4 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2038852448 / rank | |||
Normal rank |
Revision as of 02:01, 20 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