scientific article; zbMATH DE number 5052232

zbMath1191.91048MaRDI QIDQ5486570

Eckhard Platen

Publication date: 11 September 2006

Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0015.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

actuarial pricinggrowth optimal portfoliofair pricingrisk neutral pricingBenchmark model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Portfolio theory (91G10)

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Polynomial diffusion models for life insurance liabilities ⋮ Intensity-based premium evaluation for unemployment insurance products ⋮ Credit derivative evaluation and CVA under the benchmark approach ⋮ Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets ⋮ PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE ⋮ A fair pricing approach to weather derivatives ⋮ Diversified portfolios with jumps in a benchmark framework ⋮ A benchmark approach to filtering in finance

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