Abstract
To provide a pricing framework for financial & insurance instruments that captures various types of multivariate dependence structure using a combined statistical and econophysics approaches.
| Original language | English |
|---|---|
| Pages (from-to) | 41 |
| Number of pages | 1 |
| Journal | Expo 2013 Higher Degree Research : book of abstracts |
| Publication status | Published - 2013 |
| Event | Higher Degree Research Expo (9th : 2013) - Sydney Duration: 5 Nov 2013 → 7 Nov 2013 |
Keywords
- copula
- multivariate mean reverting jump diffusion model
- compound Poisson aggregate discounted claim
- Volterra integral equation
- Laplace transform
- martingale
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