Changes of Probability Measures in Finance and Insurance : A Synthesis

In this paper, we study various ways of changing probability measures with applications to Finance and Insurance. Changes of numéraire and Esscher transforms are considered, just as pricing kernels which are, in a complementary direction, a means of keeping a privileged probability measure. These approaches are compared and new insights on them are given. We set ourselves in both a diffusive and a Lévy framework

MoreLess

Year of publication:	2017
Authors:	Le Courtois, Olivier
Other Persons:	Quittard-Pinon, Francois (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Versicherung \| Insurance \| Theorie \| Theory \| Wahrscheinlichkeitsrechnung \| Probability theory \| Messung \| Measurement \| Finanzwissenschaft \| Public economics

Extent:	1 Online-Ressource (25 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Revue Finance, Vol. 25, Special Issue, p. 95-120, 2004 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2004 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012963612