A class of complete benchmark models with intensity-based jumps

Journal of Applied Probability

Volumn 41, Issue 1, 2004, Pages 19-34

  Platen, Eckhard ^a  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Actuarial pricing; Benchmark model; Event risk premium; Fair pricing; Growth optimal portfolio; Insurance; Jump diffusions

Indexed keywords

EID: 2442492290     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1077134665     Document Type: Article

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