Risk-Based Capital Factor Determination With Jump Risk

DOI10.1080/10920277.2004.10596138MaRDI QIDQ5715967zbMATH OpenOpenAlexFDO

Authors Wenge Zhu

Publication date 6 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2004.10596138

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites work

• An Intertemporal General Equilibrium Model of Asset Prices
• Economic Valuation Models for Insurers
• On Esscher Transforms in Discrete Finance Models
• Pricing contingent claims on stocks driven by Lévy processes
• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
• Pricing equity-indexed annuities with path-dependent options.
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(2)

• A theory of risk, return and solvency
• scientific article; zbMATH DE number 2062314 (Why is no real title available?)

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