Actuarial risk measures for financial derivative pricing

DOI10.1016/j.insmatheco.2007.04.001zbMath1152.91444OpenAlexW2106615634MaRDI QIDQ998266

Marc J. Goovaerts, Roger J. A. Laeven

Publication date: 28 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/200996

zbMATH Keywords

equivalent martingale measureincomplete marketsstochastic orderingGirsanov's theoremderivative pricingcomonotonicityEsscher transformFeynman-Kac integration

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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