Title: On the distribution of cash-flows using Esscher transforms
Authors: Vyncke, David
Goovaerts, Marc
De Schepper, A
Kaas, Robert
Dhaene, Jan
Issue Date: 2001
Publisher: K.U.Leuven - Departement Toegepaste Economische Wetenschappen
Series Title: DTEW Research Report 0132 pages:1-15
Abstract: In their seminal paper, Gerber and Shiu (1994) introduced the concept of the Esscher transform for option pricing. As examples they considered the shifted Poisson process, the random walk, a shifted gamma process and a shifted inverse Gaussian process to describe the logarithm of the stock price. In the present paper it is shown how upper and lower bounds in convex order can be obtained when we use these types of models to describe the financial stochasticity for a given cash-flow.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center Insurance, Leuven

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