An optional semimartingales approach to risk theory
Year of publication: |
2025
|
---|---|
Authors: | Shahrokhabadi, Mahdieh Aminian ; Melnikov, Alexander ; Pak, Andrey |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 13.2025, 4, Art.-No. 61, p. 1-27
|
Subject: | optional semimartingale | ruin probability | left-continuous with right-limit stochastic processes | Risiko | Risk | Stochastischer Prozess | Stochastic process | Martingal | Martingale | Wahrscheinlichkeitsrechnung | Probability theory | Optionspreistheorie | Option pricing theory | Risikomodell | Risk model | Optionsgeschäft | Option trading | Entscheidung unter Risiko | Decision under risk | Versicherungsmathematik | Actuarial mathematics | Portfolio-Management | Portfolio selection |
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