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Showing 1 to 2 of 2 for “"change of probability measure"”.
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Utility driven change of measure
We demonstrate how a change of probability measure can be carried out based on the risk preference of a representative investor. Using the stochastic discount factor and the Radon-Nikod´ym derivative, we are able to obtain the risk-neutral measure given a real world measure and a preference …
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Valuation and Risk Measurement of Guaranteed Annuity Options under Stochastic Environment
… for the accurate pricing and risk management of complex insurance products with option-embedded features. We propose stochastic models for the evolution of the two main risk factors, the interest rate and mortality rate, which could also have a correlation structure. For the valuation problem, …