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Cost-minimizing risk adjustment

✍ Scribed by Yujing Shen; Randall P. Ellis


Book ID
117359330
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
172 KB
Volume
21
Category
Article
ISSN
0167-6296

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## Abstract With the assumption that information cost is characterized by a Poisson process, this paper presents risk‐minimizing problems under jump‐diffusion models. First, the explicit optimal strategy under complete information is given using ItΓ΄ formula. Second, the optimal strategy problem und