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Dynamic risk measure for BSVIE with jumps and semimartingale issues
University of Oslo, Norway;University of Biskra, Algeria. (Stochastic analysis and stochastic processes)
2019 (engelsk)Inngår i: Stochastic Analysis and Applications, ISSN 0736-2994, E-ISSN 1532-9356, Vol. 37, nr 3, s. 361-376Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

Risk measure is a fundamental concept in finance and in the insuranceindustry. It is used to adjust life insurance rates. In this article,we will study dynamic risk measures by means of backward stochasticVolterra integral equations (BSVIEs) with jumps. We prove a comparisontheorem for such a type of equations. Since the solution of aBSVIEs is not a semimartingale in general, we will discuss some particularsemimartingale issues.

sted, utgiver, år, opplag, sider
Taylor & Francis, 2019. Vol. 37, nr 3, s. 361-376
HSV kategori
Forskningsprogram
Matematik, Matematik
Identifikatorer
URN: urn:nbn:se:lnu:diva-82252DOI: 10.1080/07362994.2019.1569531OAI: oai:DiVA.org:lnu-82252DiVA, id: diva2:1307331
Tilgjengelig fra: 2019-04-26 Laget: 2019-04-26 Sist oppdatert: 2019-05-06bibliografisk kontrollert

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