Martingales στη θεωρία κινδύνου με εφαρμογές στα χρηματοοικονομικά
Master Thesis
Author
Λυμπερόπουλος, Δημήτρης Π.
Date
2007-05-21View/ Open
Abstract
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.