Pragmatic insurance option pricing

DOI10.1080/03461230601088213zbMath1145.91034OpenAlexW2134119581MaRDI QIDQ5430570

Jon Holtan

Publication date: 16 December 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230601088213

zbMATH Keywords

parameter estimationrisk-neutral martingalescomplete and incomplete marketsdynamic hedging and no-arbitrageinsurance and financial option contractspurchasing preference

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Unnamed Item ⋮ A characterization of martingale-equivalent mixed compound Poisson processes ⋮ A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles

Uses Software

• Fahrmeir

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A martingale approach to premium calculation principles in an arbitrage free market
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A general version of the fundamental theorem of asset pricing
• A stochastic calculus model of continuous trading: Complete markets
• Bayesian Premium Rating with Latent Structure
• A Universal Framework for Pricing Financial and Insurance Risks