A martingale approach to premium calculation principles in an arbitrage free market

DOI10.1016/0167-6687(89)90002-4zbMATH Open0724.62102OpenAlexW2038852448MaRDI QIDQ758074FDOQ758074

Authors: Freddy Delbaen, J. Haezendonck 

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1016/0167-6687(89)90002-4

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zbMATH Keywords

predictable processcompound Poisson processarbitrage free modelmartingale equivalent probability distributionspremium calculation principlesprogressively equivalent probability distributionsrisk neutral probability distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Title not available (Why is that?)
• Title not available (Why is that?)
• Term structure of interest rates: The martingale approach
• Reinsurance in arbitrage-free markets

Cited In (31)

• A dynamic reinsurance theory
• Nuova dimostrazione di un teorema su un principio di calcolo del premio
• An economic premium principle in a multiperiod economy.
• CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION
• Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
• A law of large numbers approach to valuation in life insurance
• Rational hedging and valuation of integrated risks under constant absolute risk aversion.
• A general class of distortion operators for pricing contingent claims with applications to CAT bonds
• Simulation of ruin probabilities
• Market Price of Insurance Risk Implied by Catastrophe Derivatives
• Pricing of insurance-linked securities: a multi-peril approach
• Pricing of reinsurance contracts in the presence of catastrophe bonds
• Present value of some insurance portfolios
• Dynamic asset pricing theory with uncertain time-horizon
• Reinsurance in arbitrage-free markets
• Stochastic time changes in catastrophe option pricing
• Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
• Evaluating hybrid products: the interplay between financial and insurance markets
• A no arbitrage approach to Thiele's differential equation
• Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
• Title not available (Why is that?)
• Convex ordering criteria for Lévy processes
• Some characterizations of mixed renewal processes
• Pragmatic insurance option pricing
• A Note on the Myers and Read Capital Allocation Formula
• Ordering of risks under PH-transforms
• A characterization of martingale-equivalent mixed compound Poisson processes
• A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles
• PERSONAL NON-LIFE INSURANCE DECISIONS AND THE WELFARE LOSS FROM FLAT DEDUCTIBLES
• Pricing of unemployment insurance products with doubly stochastic Markov chains
• Lower and upper bounds of martingale measure densities in continuous time markets

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