The Minimal Entropy Martingale Measure in a market of traded financial and actuarial risks
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Other versions of this item:
- Jan Dhaene & Ben Stassen & Pierre Devolder & Michel Vellekoop, 2014. "The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks," Tinbergen Institute Discussion Papers 14-104/IV/78, Tinbergen Institute.
- Dhaene, Jan & Stassen, Ben & Devolder, Pierre & Vellekoop, Michel, 2015. "The minimal entropy martingale measure in a market of traded financial and actuarial risks," LIDAM Reprints ISBA 2015014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
References listed on IDEAS
- Dhaene, Jan & Kukush, Alexander & Luciano, Elisa & Schoutens, Wim & Stassen, Ben, 2013. "On the (in-)dependence between financial and actuarial risks," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 522-531.
- Marco Frittelli, 2000. "The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 39-52, January.
Citations
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Cited by:
- Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2020. "Option Pricing Incorporating Factor Dynamics in Complete Markets," JRFM, MDPI, vol. 13(12), pages 1-33, December.
- Dhaene, Jan & Stassen, Ben & Barigou, Karim & Linders, Daniël & Chen, Ze, 2017.
"Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency,"
Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 14-27.
- Jan Dhaene & Ben Stassen & Karim Barigou & Daniël Linders & Ze Chen, 2017. "Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 578281, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
- Arık, Ayşe & Uğur, Ömür & Kleinow, Torsten, 2023. "The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices," ASTIN Bulletin, Cambridge University Press, vol. 53(2), pages 392-417, May.
- José L. Vilar-Zanón & Olivia Peraita-Ezcurra, 2019. "A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 259-276, June.
- Gupta, Aparna & Palepu, Sai, 2024. "Designing risk-free service for renewable wind and solar resources," European Journal of Operational Research, Elsevier, vol. 315(2), pages 715-728.
- Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2020. "Option Pricing Incorporating Factor Dynamics in Complete Markets," Papers 2011.08343, arXiv.org.
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