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  • Search: subject:"benchmark arbitrage"
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actuarial pricing 1 arbitrage amount 1 benchmark arbitrage 1 benchmarked model 1 fair pricing 1 growth optimal portfolio 1
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Book / Working Paper 1
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Platen, Eckhard 1
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Finance Discipline Group, Business School 1
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A Benchmark Framework for Integrated Risk Management
Platen, Eckhard - Finance Discipline Group, Business School - 2002
The paper describes a consistent, integrated framework for modeling and pricing in finance, insurance and other areas of risk management. The growth optimal portfolio is taken as a benchmark. In the resulting price system expected future benchmarked, nonnegative prices are not greater that the...
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