Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform (Q1888898)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform |
scientific article; zbMATH DE number 2119632
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform |
scientific article; zbMATH DE number 2119632 |
Statements
Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform (English)
0 references
29 November 2004
0 references
Aggregate accumulated claims
0 references
Shot noise process
0 references
Extreme value distributions
0 references
Equivalent martingale probability measure
0 references
The Esscher transform
0 references
Arbitrage-free premium
0 references
0 references
0.8428518
0 references
0.8402852
0 references
0.83166885
0 references
0.8312785
0 references
0 references
0.8224027
0 references
0.82087016
0 references
