Titlebook: Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications; BSDEs with Jumps Łukasz Delong Textbo

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百科全书

Introduction,We discuss advantages of solving optimal control problems and defining nonlinear expectations by backward stochastic differential equations. We comment on applications of backward stochastic differential equations to pricing and hedging of liabilities and modelling of dynamic risk measures.

CRAFT

Robert P. Benedict,Nicola A. Carlucciy processes, step processes and their jump measures are given. We investigate stochastic integrals with respect to Brownian motion and compensated random measures and we recall their properties. We discuss the weak property of predictable representation for local martingales. Equivalent probability

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FIS

脾气暴躁的人

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adduction

A. J. Gale,E. M. Sedgwick,R. Jacksonthe investment strategy under which the expected exponential utility of the insurer’s terminal wealth is maximized. We characterize the optimal value function of the optimization problem and the optimal investment strategy by a nonlinear BSDE. Next, we solve the exponential indifference pricing and

Interim

https://doi.org/10.1007/978-94-011-1416-5ricing and hedging under model ambiguity. We find the hedging strategy which minimizes the expected terminal shortfall under a least favorable probability measure specifying the probability model for the risk factors and we set the price which offsets this worst shortfall. Next, we deal with no-good

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S. J. Jones,M. Hetreed,N. J. Smithare modelled by .-expectations. We study properties of dynamic risk measures and we show that properties of dynamic risk measures are determined by the generator of the BSDE defining the .-expectation and the risk measure. We discuss methods for choosing the generator of a .-expectation. We also sol