Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
type: Item
instance of: scholarly article
title: Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
zbMATH Open document ID: 1075.62096
author: Ji-Wook Jang
author: Yuriy Krvavych
published in: Insurance Mathematics \& Economics
publication date: 2004-11-29T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60G70
zbMATH DE Number: 2119632
zbMATH Keywords: Aggregate accumulated claims
zbMATH Keywords: Shot noise process
zbMATH Keywords: Extreme value distributions
zbMATH Keywords: Equivalent martingale probability measure
zbMATH Keywords: The Esscher transform
zbMATH Keywords: Arbitrage-free premium
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2004.05.002
OpenAlex ID: W2081420007
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DOI: 10.1016/J.INSMATHECO.2004.05.002
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description: scientific article; zbMATH DE number 2119632