Presentation: Robust Martingale Representations for Marked Point Processes
Workshop: Concluding Workshop
Time: Tue, December 02, 2008, 09:30-10:15
Speaker: Johannes Leitner
Abstract
We develop a super-additive (insurance) market model based on marked point processes. A dynamic premium calculation principle is used for pricing of instantaneous insurance contracts. Completeness and absence of arbitrage is shown for the market model and can be interpreted as a 'robust' predictable uniformly bounded martingale representation property of the random measure corresponding to the marked point process.
Presentation slides (pdf, 111 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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