170 citations · 224 across the 6 of their papers we have counts for
Showing math.PRShow all
2 papers · 1 filter
math.PR2020
Ruin Probabilities for a Sparre Andersen Model with Investments
Ernst Eberlain, Yuri Kabanov, Thorsten Schmidt
We study a Sparre Andersen model in which the business activity of the company is described by a compound renewal process with drift assuming that the capital reserves are invested…
math.PR2008★ 53 cited
Esscher transform and the duality principle for multidimensional semimartingales
Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev
The duality principle in option pricing aims at simplifying valuation problems that depend on several variables by associating them to the corresponding dual option pricing problem…