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On the Distribution of Cash Flows Using Esscher Transforms

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Author Info
D. Vyncke
M. J. Goovaerts
A. De Schepper
R. Kaas
J. Dhaene

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Abstract

In their seminal paper, Gerber and Shiu (1994) introduced the concept of the Esscher transform for option pricing. As examples they considered the shifted Poisson process, the random walk, a shifted gamma process, and a shifted inverse Gaussian process to describe the logarithm of the stock price. In the present article it is shown how upper and lower bounds in convex order can be obtained when we use these types of models to describe the stochastic accumulation factors for a given cash flow. Copyright The Journal of Risk and Insurance.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1539-6975.t01-1-00065
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Publisher Info
Article provided by The American Risk and Insurance Association in its journal The Journal of Risk and Insurance.

Volume (Year): 70 (2003)
Issue (Month): 3 ()
Pages: 563-575
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Handle: RePEc:bla:jrinsu:v:70:y:2003:i:3:p:563-575

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