A new stochastically flexible event methodology with application to proposition 103

DOI10.1016/S0167-6687(98)00046-8zbMath0943.62105OpenAlexW2162100342MaRDI QIDQ1962830

Hwei-Mei Chen, James R. Garven, Patrick L. Brockett

Publication date: 6 September 2000

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00046-8

zbMATH Keywords

ARCHGARCHdynamic market modelcumulative sumsproposition 103

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Auctions, bargaining, bidding and selling, and other market models (91B26)

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