A discrete time benchmark approach for insurance and finance

This paper proposes a consistent approach to discrete time valuation in insurance and finance. This approach uses the growth optimal portfolio as references unit or benchmark. When used as benchmark, it is shown that all benchmarked price processes are supermartingales.

MoreLess

Year of publication:	2003
Authors:	Bühlmann, Hans ; Platen, Eckhard
Publisher:	International Actuarial Association / Actuarial Studies in Non-Life Insurance
Subject:	Versicherungsbetriebslehre \| insurance management \| Portfoliomanagement \| portfolio management \| Versicherungswirtschaft

More details

Extent:	359424 bytes 20 p. application/pdf
Series:	Casualty Actuarial Society - Astin Bulletin ASTIN BULLETIN - The Journal of the ASTIN and AFIR Section of the International Actuarial Association - Vol.33 - No.2, 2003; 53-172
Type of publication:	Book / Working Paper
Language:	English
Classification:	G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing ; Management of insurance ; Insurance Industry ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847001