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 15:33, 7 June 2024

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Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
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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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