Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform

DOI10.1016/j.insmatheco.2004.05.002zbMath1075.62096MaRDI QIDQ1888898

Ji-Wook Jang, Yuriy Krvavych

Publication date: 29 November 2004

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.05.002

zbMATH Keywords

Extreme value distributions; Shot noise process; Aggregate accumulated claims; Arbitrage-free premium; Equivalent martingale probability measure; The Esscher transform

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G70: Extreme value theory; extremal stochastic processes

Related Items

Jump diffusion processes and their applications in insurance and finance, Securitization of motor insurance loss rate risks

Cites Work

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