Stochastic orders in dynamic reinsurance markets

DOI10.1007/S00780-004-0130-YzbMATH Open1060.62122OpenAlexW1479695032MaRDI QIDQ1776014FDOQ1776014

Authors: Thomas Møller 

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-004-0130-y

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zbMATH Keywords

change of measureconvex ordercompound Poisson processminimal martingale measureminimal entropy martingale measurecut criterionstop-loss contract

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44)

Cited In (5)

• Comparison results for GARCH processes
• PROBABILITY OF SUFFICIENCY OF SOLVENCY II RESERVE RISK MARGINS: PRACTICAL APPROXIMATIONS
• Comparison of option prices in semimartingale models
• Convex ordering criteria for Lévy processes
• A characterization of martingale-equivalent mixed compound Poisson processes

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