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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 (English)In: Stochastic Analysis and Applications, ISSN 0736-2994, E-ISSN 1532-9356, Vol. 37, no 3, p. 361-376Article in journal (Refereed) 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.

Place, publisher, year, edition, pages
Taylor & Francis, 2019. Vol. 37, no 3, p. 361-376
National Category
Other Mathematics
Research subject
Mathematics, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-82252DOI: 10.1080/07362994.2019.1569531OAI: oai:DiVA.org:lnu-82252DiVA, id: diva2:1307331
Available from: 2019-04-26 Created: 2019-04-26 Last updated: 2019-05-06Bibliographically approved

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Agram, Nacira

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