Risk-minimizing hedging strategies for insurance payment processes
✍ Scribed by Thomas Møller
- Publisher
- Springer-Verlag
- Year
- 2001
- Tongue
- English
- Weight
- 187 KB
- Volume
- 5
- Category
- Article
- ISSN
- 0949-2984
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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 Itô formula. Second, the optimal strategy problem und
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