Martingales στη θεωρία κινδύνου με εφαρμογές στα χρηματοοικονομικά
Λυμπερόπουλος, Δημήτρης Π.
The impact of the martingales in Risk Theory is investigated and some applications of the above in finance are given. More precisely, a martingale characterization of the Poisson process is presented and the contribution of the martingales to the ruin problem is pointed out. Moreover, a model of arbitrage free markets is assumed to study martingale equivalent probability distributions on the basic probability space of a compound Poisson process. The latter is applied to premium calculation principles.