Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform (Q1888898)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform |
scientific article |
Statements
Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform (English)
0 references
29 November 2004
0 references
Aggregate accumulated claims
0 references
Shot noise process
0 references
Extreme value distributions
0 references
Equivalent martingale probability measure
0 references
The Esscher transform
0 references
Arbitrage-free premium
0 references
0 references
