Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
| Year of publication: |
2004
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|---|---|
| Authors: | Jang, Ji-Wook ; Krvavych, Yuriy |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : North Holland Publ. Co, ISSN 0167-6687, ZDB-ID 8864x. - Vol. 35.2004, 1, p. 97-112
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