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A class of complete benchmark models with intensity-based jumps - MaRDI portal

A class of complete benchmark models with intensity-based jumps (Q4819433)

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scientific article; zbMATH DE number 2103343
Language Label Description Also known as
English
A class of complete benchmark models with intensity-based jumps
scientific article; zbMATH DE number 2103343

    Statements

    title
    A class of complete benchmark models with intensity-based jumps (English)
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    author
    Eckhard Platen
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    publication date
    24 September 2004
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    zbMATH Keywords
    benchmark model
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    jump diffusions
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    growth-optimal portfolio
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    event risk premium
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    fair pricing
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    actuarial pricing
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    insurance
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    Identifiers

    Mathematics Subject Classification ID
    91B26
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    60G30
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    60G35
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    91B24
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    91B28
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    zbMATH DE Number
    2103343
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    OpenAlex ID
    W1967803180
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