The minimal entropy martingale measure in a market of traded financial and actuarial risks

DOI10.1016/j.cam.2014.12.004zbMath1310.91137OpenAlexW1994912804MaRDI QIDQ2255722

Michel H. Vellekoop, Pierre Devolder, Jan Dhaene, Ben Stassen

Publication date: 18 February 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.12.004

zbMATH Keywords

independencerelative entropyincomplete marketsminimal entropy martingale measurefinancial risksactuarial risks

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

On the generalized cumulative residual entropy with applications in actuarial science ⋮ Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency ⋮ The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices ⋮ A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy

Cites Work

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• Esscher transforms and consumption-based models
• A note on the connection between the Esscher-Girsanov transform and the Wang transform
• Actuarial risk measures for financial derivative pricing
• On the (in-)dependence between financial and actuarial risks
• On the Applicability of the Wang Transform for Pricing Financial Risks
• On Minimization and Maximization of Entropy in Various Disciplines
• On Information and Sufficiency
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

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