A martingale approach to premium calculation principles in an arbitrage free market
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Cites work
- scientific article; zbMATH DE number 3844885 (Why is no real title available?)
- scientific article; zbMATH DE number 3222421 (Why is no real title available?)
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Reinsurance in arbitrage-free markets
- Term structure of interest rates: The martingale approach
Cited in
(31)- CAT bond pricing under a product probability measure with pot risk characterization
- Personal non-life insurance decisions and the welfare loss from flat deductibles
- Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
- Simulation of ruin probabilities
- A dynamic reinsurance theory
- Pragmatic insurance option pricing
- Convex ordering criteria for Lévy processes
- Stochastic time changes in catastrophe option pricing
- Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
- Reinsurance in arbitrage-free markets
- Present value of some insurance portfolios
- Pricing of insurance-linked securities: a multi-peril approach
- A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles
- Evaluating hybrid products: the interplay between financial and insurance markets
- Nuova dimostrazione di un teorema su un principio di calcolo del premio
- A law of large numbers approach to valuation in life insurance
- A Note on the Myers and Read Capital Allocation Formula
- Pricing of unemployment insurance products with doubly stochastic Markov chains
- Ordering of risks under PH-transforms
- 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
- Some characterizations of mixed renewal processes
- Market price of insurance risk implied by catastrophe derivatives
- An economic premium principle in a multiperiod economy.
- A characterization of martingale-equivalent mixed compound Poisson processes
- Lower and upper bounds of martingale measure densities in continuous time markets
- Dynamic asset pricing theory with uncertain time-horizon
- Pricing of reinsurance contracts in the presence of catastrophe bonds
- scientific article; zbMATH DE number 7662452 (Why is no real title available?)
- 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
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