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Dynamic risk measure for BSVIE with jumps and semimartingale issues

Agram, Nacira

Stochastic analysis and applications, 2019-05, Vol.37 (3), p.361-376 [Periódico revisado por pares]

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Título:
Dynamic risk measure for BSVIE with jumps and semimartingale issues
Autor: Agram, Nacira
Assuntos: backward stochastic Volterra integral equation ; Brownian motion ; compensated Poisson random measure ; Insurance ; Insurance industry ; Life insurance ; Matematik ; Mathematical analysis ; Mathematics ; Risk ; risk measure ; semimartingale ; Volterra integral equations
É parte de: Stochastic analysis and applications, 2019-05, Vol.37 (3), p.361-376
Descrição: Risk measure is a fundamental concept in finance and in the insurance industry. It is used to adjust life insurance rates. In this article, we will study dynamic risk measures by means of backward stochastic Volterra integral equations (BSVIEs) with jumps. We prove a comparison theorem for such a type of equations. Since the solution of a BSVIEs is not a semimartingale in general, we will discuss some particular semimartingale issues.
Editor: Philadelphia: Taylor & Francis
Idioma: Inglês;Norueguês

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