Dam rain and cumulative gain

DOI10.1142/9789811246494_0003zbMath1489.91293arXiv0710.2775OpenAlexW4214716011WikidataQ62272451 ScholiaQ62272451MaRDI QIDQ5072615

Dorje C. Brody, Lane P. Hughston, Andrea Macrina

Publication date: 29 April 2022

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences, Financial Informatics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.2775

zbMATH Keywords

asset pricingreinsurancebeta distributioncredit portfolio riskgamma bridge processinsurance claim reserves

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Actuarial mathematics (91G05)

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Cites Work

• A parallel between Brownian bridges and gamma bridges
• A PROBABILITY THEORY OF A DAM WITH A CONTINUOUS RELEASE
• INFORMATION-BASED ASSET PRICING
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• Fluctuation theory in continuous time
• Inference for gamma and stable processes
• Option Pricing With V. G. Martingale Components¹
• LÉVY SIMPLE STRUCTURAL MODELS
• AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS
• On continuous time models in the theory of dams
• A Characterization of the Gamma Distribution

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