A class of complete benchmark models with intensity-based jumps

DOI10.1239/jap/1077134665zbMath1123.91319MaRDI QIDQ4819433

Eckhard Platen

Publication date: 24 September 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1077134665

zbMATH Keywords

insurance; jump diffusions; actuarial pricing; fair pricing; growth-optimal portfolio; benchmark model; event risk premium

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

60G35: Signal detection and filtering (aspects of stochastic processes)

91B26: Auctions, bargaining, bidding and selling, and other market models

60G30: Continuity and singularity of induced measures

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