A martingale approach to premium calculation principles in an arbitrage free market (Q758074): Difference between revisions
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| Property / cites work: Term structure of interest rates: The martingale approach / rank | |||
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| Property / cites work: Q3314810 / rank | |||
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| Property / cites work: Martingales and arbitrage in multiperiod securities markets / rank | |||
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| Property / cites work: Martingales and stochastic integrals in the theory of continuous trading / rank | |||
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| Property / cites work: Q5509983 / rank | |||
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| Property / cites work: Reinsurance in arbitrage-free markets / rank | |||
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Latest revision as of 16:05, 21 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A martingale approach to premium calculation principles in an arbitrage free market |
scientific article |
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A martingale approach to premium calculation principles in an arbitrage free market (English)
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1989
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risk neutral probability distribution
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predictable process
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progressively equivalent probability distributions
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arbitrage free model
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martingale equivalent probability distributions
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compound Poisson process
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premium calculation principles
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