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Reinsurance in arbitrage-free markets · Study

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ArticleReinsurance in arbitrage-free markets

Dieter Sondermann1991

Article1991

Reinsurance in arbitrage-free markets

Dieter Sondermann

63 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Stochastic processes and financial applications

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References

1976The arbitrage theory of capital asset pricing 1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 1988Theory of Financial Decision Making.1979An introduction to mathematical risk theory 1962Equilibrium in a Reinsurance Market 1992Equilibrium in a Reinsurance Market 1985Hedging of non-redundant contingent claims

Cited by

2001Risk measures and insurance premium principles 1992Dynamic Equilibrium and the Structure of Premiums in a Reinsurance Market 2000A no arbitrage approach to Thiele’s differential equation 2004Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform 2004Stochastic orders in dynamic reinsurance markets 2001Stochastic processes in insurance and finance

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Year1991

Typearticle

Published1991-12-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations63

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/0167-6687(91)90049-4

openalex_workW2084555663

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2002

Pricing Catastrophe Insurance Derivatives