Arbitrage-free premium calculation for extreme losses using...

Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform

Ji-Wook Jang, Yuriy Krvavych
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Volume:
35
Year:
2004
Language:
english
Pages:
15
DOI:
10.1016/j.insmatheco.2004.05.002
File:
PDF, 140 KB
english, 2004
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