A Discrete Time Benchmark Approach for Insurance and Finance

DOI10.2143/AST.33.2.503688zbMath1098.91069OpenAlexW4253131730MaRDI QIDQ4661678

Hans Bühlmann, Eckhard Platen

Publication date: 30 March 2005

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.33.2.503688

zbMATH Keywords

actuarial pricinggrowth optimal portfolionumeraire portfoliobenchmark approachfair pricingfinancial and insurance market modelunit linked insurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Continuity and singularity of induced measures (60G30)

Related Items (7)

A General Benchmark Model for Stochastic Jump Sizes ⋮ Arbitrage concepts under trading restrictions in discrete-time financial markets ⋮ Pricing of long dated equity-linked life insurance contracts ⋮ Portfolio optimization in a defaultable Lévy-driven market model ⋮ No Arbitrage and the Growth Optimal Portfolio ⋮ A fair pricing approach to weather derivatives ⋮ Numeraire portfolios and utility-based price systems under proportional transaction costs

Cites Work

• A complete explicit solution to the log-optimal portfolio problem.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• On Esscher Transforms in Discrete Finance Models
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• The numeraire portfolio for unbounded semimartingale
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