On the modelling of nested risk-neutral stochastic processes with applications in insurance
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Publication:5373909
DOI10.1080/1350486X.2017.1378583zbMath1398.62324OpenAlexW2761603512MaRDI QIDQ5373909
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Publication date: 6 April 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2017.1378583
risk-neutral valuationrobust calibrationHestonnested simulationssolvency IIstate space hidden Markov
Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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