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

DOI10.1016/j.insmatheco.2004.05.002zbMath1075.62096OpenAlexW2081420007MaRDI 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 distributionsShot noise processAggregate accumulated claimsArbitrage-free premiumEquivalent martingale probability measureThe Esscher transform

Mathematics Subject Classification ID

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