Stochastic processes in insurance and finance (Q2734969)
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scientific article; zbMATH DE number 1639997
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic processes in insurance and finance |
scientific article; zbMATH DE number 1639997 |
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3 February 2002
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stochastic processes
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finance
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insurance
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survey
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0.92167544
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0.91022444
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Stochastic processes in insurance and finance (English)
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This is a survey paper about stochastic processes in insurance and finance. On the insurance side, its main focus is on ruin probabilities and risk theory and its treatment by methods from renewal theory and martingale theory. On the finance side, questions discussed include hedging and pricing, superreplication and mean-variance hedging, and some problems are illustrated in the particular context of a stochastic volatility model. The final section contains some discussion about the current and future interplay between finance and insurance.NEWLINENEWLINEFor the entire collection see [Zbl 0961.60001].
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