Martingales στη θεωρία κινδύνου με εφαρμογές στα χρηματοοικονομικά
Master Thesis
Date
2007-05-21View/
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.
Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές