Dynamic risk measure for BSVIE with jumps and semimartingale issues
| Autor: | Nacira Agram |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Statistics and Probability
Actuarial science Applied Mathematics Risk measure 010102 general mathematics Mathematics::Optimization and Control 60H07 60H20 60H30 45D05 45R05 01 natural sciences Dynamic risk measure 010104 statistics & probability Semimartingale Optimization and Control (math.OC) Life insurance FOS: Mathematics 0101 mathematics Statistics Probability and Uncertainty Mathematics - Optimization and Control Insurance industry Mathematics |
| Zdroj: | Stochastic Analysis and Applications. 37:361-376 |
| ISSN: | 1532-9356 0736-2994 |
| DOI: | 10.1080/07362994.2019.1569531 |
| Popis: | Risk measure is a fundamental concept in finance and in the insurance industry, it is used to adjust life insurance rates. In this current paper, we will study dynamic risk measures by means of backward stochastic Volterra integral equations (BSVIEs) with jumps. We prove a comparison theorem for such a type of equations. Since the solution of a BSVIEs is not a semimartingale in general, we will discuss some particular semimartingale issues. Comment: 11 pages |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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