A martingale approach to premium calculation principles in an arbitrage free market

DOI10.1016/0167-6687(89)90002-4zbMath0724.62102OpenAlexW2038852448MaRDI QIDQ758074

J. Haezendonck, Freddy Delbaen

Publication date: 1989

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(89)90002-4

zbMATH Keywords

compound Poisson processpredictable processarbitrage free modelmartingale equivalent probability distributionspremium calculation principlesprogressively equivalent probability distributionsrisk neutral probability distribution

Mathematics Subject Classification ID

Related Items (28)

Present value of some insurance portfolios ⋮ Applications of a change of measures technique for compound mixed renewal processes to the ruin problem ⋮ PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS ⋮ Simulation of ruin probabilities ⋮ A law of large numbers approach to valuation in life insurance ⋮ Stochastic time changes in catastrophe option pricing ⋮ Unnamed Item ⋮ An economic premium principle in a multiperiod economy. ⋮ Rational hedging and valuation of integrated risks under constant absolute risk aversion. ⋮ CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION ⋮ PERSONAL NON-LIFE INSURANCE DECISIONS AND THE WELFARE LOSS FROM FLAT DEDUCTIBLES ⋮ Convex ordering criteria for Lévy processes ⋮ Reinsurance in arbitrage-free markets ⋮ LOWER AND UPPER BOUNDS OF MARTINGALE MEASURE DENSITIES IN CONTINUOUS TIME MARKETS ⋮ A characterization of martingale-equivalent mixed compound Poisson processes ⋮ A Note on the Myers and Read Capital Allocation Formula ⋮ Dynamic asset pricing theory with uncertain time-horizon ⋮ Pricing of Reinsurance Contracts in the Presence of Catastrophe Bonds ⋮ A dynamic reinsurance theory ⋮ Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets ⋮ Pragmatic insurance option pricing ⋮ A no arbitrage approach to Thiele's differential equation ⋮ Valuation of contingent convertible catastrophe bonds -- the case for equity conversion ⋮ A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles ⋮ A general class of distortion operators for pricing contingent claims with applications to CAT bonds ⋮ Some characterizations of mixed renewal processes ⋮ Ordering of risks under PH-transforms ⋮ Market Price of Insurance Risk Implied by Catastrophe Derivatives

Cites Work

• Term structure of interest rates: The martingale approach
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Reinsurance in arbitrage-free markets
• Unnamed Item
• Unnamed Item

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