Dam rain and cumulative gain
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Publication:5072615
DOI10.1142/9789811246494_0003zbMath1489.91293arXiv0710.2775WikidataQ62272451 ScholiaQ62272451MaRDI QIDQ5072615
Dorje C. Brody, Lane P. Hughston, Andrea Macrina
Publication date: 29 April 2022
Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences, Financial Informatics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0710.2775
asset pricing; reinsurance; beta distribution; credit portfolio risk; gamma bridge process; insurance claim reserves
60G44: Martingales with continuous parameter
91G20: Derivative securities (option pricing, hedging, etc.)
91G40: Credit risk
91G05: Actuarial mathematics