Measure distorted arrival rate risks and their rewards

DOI10.1186/s41546-017-0021-8zbMath1431.91443OpenAlexW2652192017WikidataQ59612016 ScholiaQ59612016MaRDI QIDQ2296098

Dilip B. Madan

Publication date: 17 February 2020

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s41546-017-0021-8

zbMATH Keywords

hunt processvariance gammaMarkov chain approximationmatrix exponentiationmomentum functionmeasure distortion

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (1)

Zero covariation returns

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