A class of complete benchmark models with intensity-based jumps

DOI10.1239/jap/1077134665zbMath1123.91319OpenAlexW1967803180MaRDI QIDQ4819433

Eckhard Platen

Publication date: 24 September 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1077134665

zbMATH Keywords

insurancejump diffusionsactuarial pricingfair pricinggrowth-optimal portfoliobenchmark modelevent risk premium

Mathematics Subject Classification ID

Related Items (7)

A General Benchmark Model for Stochastic Jump Sizes ⋮ Real-world jump-diffusion term structure models ⋮ A BENCHMARK APPROACH TO FINANCE ⋮ Local volatility function models under a benchmark approach ⋮ No Arbitrage and the Growth Optimal Portfolio ⋮ Diversified portfolios with jumps in a benchmark framework ⋮ A benchmark approach to filtering in finance

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