Dam rain and cumulative gain

Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences

Volumn 464, Issue 2095, 2008, Pages 1801-1822

  Brody, Dorje C ^a   Hughston, Lane P ^b,c   MacRina, Andrea ^b,d  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b KING'S COLLEGE LONDON   (United Kingdom)

^c PERIMETER INSTITUTE FOR THEORETICAL PHYSICS   (Canada)

^d ETH ZURICH   (Switzerland)

Author keywords

Asset pricing; Beta distribution; Credit portfolio risk; Gamma bridge process; Insurance claim reserves; Reinsurance

Indexed keywords

ASSET MANAGEMENT; INSURANCE; PROBABILITY; RISK ANALYSIS;

ARROW-DEBREU SECURITY; OPTIMAL INSURANCE;

INDUSTRIAL ECONOMICS;

EID: 43949085050     PISSN: 13645021     EISSN: 14712946     Source Type: Journal    
DOI: 10.1098/rspa.2007.0273     Document Type: Article

References (29)