A MARTINGALE APPROACH TO PREMIUM CALCULATION PRINCIPLES IN AN ARBITRAGE FREE MARKET

被引：40

作者：

DELBAEN, F ^{[1
]}

HAEZENDONCK, J ^{[1
]}

机构：

[1] UNIV INSTELLING ANTWERP,B-2610 WILRIJK,BELGIUM

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1989年 / 8卷 / 04期

关键词：

D O I：

10.1016/0167-6687(89)90002-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：269 / 277

页数：9

共 50 条

[1] A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles
Macheras, Nikolaos D.
Tzaninis, Spyridon M.
MODERN STOCHASTICS-THEORY AND APPLICATIONS, 2020, 7 (01): : 43 - 60
[2] Weighted premium calculation principles
Furman, Edward
Zitikisb, Ricardas
INSURANCE MATHEMATICS & ECONOMICS, 2008, 42 (01): : 459 - 465
[3] ON CONVEX PRINCIPLES OF PREMIUM CALCULATION
DEPREZ, O
GERBER, HU
INSURANCE MATHEMATICS & ECONOMICS, 1985, 4 (03): : 179 - 189
[4] PROPERTIES OF PREMIUM CALCULATION PRINCIPLES
REICH, A
INSURANCE MATHEMATICS & ECONOMICS, 1986, 5 (01): : 97 - 101
[5] Projective system approach to the martingale characterization of the absence of arbitrage
Balbás, A
Mirás, MA
Muñoz-Bouzo, MJ
JOURNAL OF MATHEMATICAL ECONOMICS, 2002, 37 (04) : 311 - 323
[6] Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
Jang, JW
Krvavych, Y
INSURANCE MATHEMATICS & ECONOMICS, 2004, 35 (01): : 97 - 111
[7] A note on weighted premium calculation principles
Kaluszka, M.
Laeven, R. J. A.
Okolewski, A.
INSURANCE MATHEMATICS & ECONOMICS, 2012, 51 (02): : 379 - 381
[8] On the use of capacities in representing premium calculation principles
Marta Cardin
Paola Ferretti
Decisions in Economics and Finance, 2001, 24 (1) : 71 - 77
[9] PREMIUM AND BENEFIT LEVELS IN THE PUBLIC PENSION SYSTEM: A MARTINGALE APPROACH
Kim, Hyungsu
Kim, Geonwoo
DYNAMIC SYSTEMS AND APPLICATIONS, 2019, 28 (03): : 561 - 572
[10] INFORMATION AND VOLATILITY - THE NO-ARBITRAGE MARTINGALE APPROACH TO TIMING AND RESOLUTION IRRELEVANCY
ROSS, SA
JOURNAL OF FINANCE, 1989, 44 (01): : 1 - 17

← 1 2 3 4 5 →