From the decompositions of a stopping time to risk premium decompositions
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Publication:4606382
DOI10.1051/proc/201756001zbMath1407.91283arXiv0912.4312OpenAlexW1506403397MaRDI QIDQ4606382
Publication date: 7 March 2018
Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0912.4312
Statistical methods; risk measures (91G70) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (3)
Statistical causality, optional and predictable projections ⋮ HAZARD PROCESSES AND MARTINGALE HAZARD PROCESSES ⋮ Thin times and random times' decomposition
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