Minimizing shortfall risk and applications to finance and insurance problems

Annals of Applied Probability

Volumn 12, Issue 1, 2002, Pages 143-172

  Pham, Huyên ^a  

^a CNRS   (France)

Author keywords

Duality theory; Finance and insurance; Optional decomposition under constraints; Semimartingales; Shortfall risk minimization

Indexed keywords

EID: 0036110722     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1015961159     Document Type: Article

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