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math.PR2015
In the Life Insurance Business Risky Investments are Dangerous
Yuri Kabanov, Serguei Pergamenshchikov
We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a geometric Brownian motion. Our main result is an…
math.PR2015★ 3 cited
No arbitrage and local martingale deflators
Yuri Kabanov, Constantinos Kardaras, Shiqi Song
A supermartingale deflator (resp., local martingale deflator) multiplicatively transforms nonnegative wealth processes into supermartingales (resp., local martingales). The superma…