Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
| Year of publication: |
2004
|
|---|---|
| Authors: | Jang, Ji-Wook ; Krvavych, Yuriy |
| Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 35.2004, 1, p. 97-111
|
| Publisher: |
Elsevier |