Matches in SemOpenAlex for { <https://semopenalex.org/work/W2898814080> ?p ?o ?g. }
Showing items 1 to 99 of
99
with 100 items per page.
- W2898814080 abstract "The information dynamics in finance and insurance applications is usually modeled by a filtration. This paper looks at situations where information restrictions apply such that the information dynamics may become non-monotone. A fundamental tool for calculating and managing risks in finance and insurance are martingale representations. We present a general theory that extends classical martingale representations to non-monotone information generated by marked point processes. The central idea is to focus only on those properties that martingales and compensators show on infinitesimally short intervals. While classical martingale representations describe innovations only, our representations have an additional symmetric counterpart that quantifies the effect of information loss. We exemplify the results with examples from life insurance and credit risk." @default.
- W2898814080 created "2018-11-09" @default.
- W2898814080 creator A5056718734 @default.
- W2898814080 date "2018-11-02" @default.
- W2898814080 modified "2023-09-27" @default.
- W2898814080 title "A martingale concept for non-monotone information in a jump process framework" @default.
- W2898814080 cites W1670541634 @default.
- W2898814080 cites W1857434737 @default.
- W2898814080 cites W1858204772 @default.
- W2898814080 cites W1976735106 @default.
- W2898814080 cites W1982526547 @default.
- W2898814080 cites W1996475044 @default.
- W2898814080 cites W2003555665 @default.
- W2898814080 cites W2004191028 @default.
- W2898814080 cites W2019197114 @default.
- W2898814080 cites W2030737219 @default.
- W2898814080 cites W2031321758 @default.
- W2898814080 cites W2044075761 @default.
- W2898814080 cites W2063999201 @default.
- W2898814080 cites W2068764135 @default.
- W2898814080 cites W2100966004 @default.
- W2898814080 cites W2102439862 @default.
- W2898814080 cites W2116082192 @default.
- W2898814080 cites W2125042092 @default.
- W2898814080 cites W2136222320 @default.
- W2898814080 cites W2149707114 @default.
- W2898814080 cites W2238500021 @default.
- W2898814080 cites W2270857406 @default.
- W2898814080 cites W2317859022 @default.
- W2898814080 cites W2439510765 @default.
- W2898814080 cites W2558414148 @default.
- W2898814080 cites W3023478198 @default.
- W2898814080 cites W3027323267 @default.
- W2898814080 cites W3101925067 @default.
- W2898814080 cites W3151621857 @default.
- W2898814080 cites W581123446 @default.
- W2898814080 hasPublicationYear "2018" @default.
- W2898814080 type Work @default.
- W2898814080 sameAs 2898814080 @default.
- W2898814080 citedByCount "2" @default.
- W2898814080 countsByYear W28988140802020 @default.
- W2898814080 crossrefType "journal-article" @default.
- W2898814080 hasAuthorship W2898814080A5056718734 @default.
- W2898814080 hasBestOaLocation W28988140801 @default.
- W2898814080 hasConcept C134306372 @default.
- W2898814080 hasConcept C144237770 @default.
- W2898814080 hasConcept C149782125 @default.
- W2898814080 hasConcept C162118730 @default.
- W2898814080 hasConcept C162324750 @default.
- W2898814080 hasConcept C202444582 @default.
- W2898814080 hasConcept C2524010 @default.
- W2898814080 hasConcept C2834757 @default.
- W2898814080 hasConcept C28826006 @default.
- W2898814080 hasConcept C33923547 @default.
- W2898814080 hasConcept C48406656 @default.
- W2898814080 hasConcept C58435881 @default.
- W2898814080 hasConcept C76374431 @default.
- W2898814080 hasConcept C91229774 @default.
- W2898814080 hasConceptScore W2898814080C134306372 @default.
- W2898814080 hasConceptScore W2898814080C144237770 @default.
- W2898814080 hasConceptScore W2898814080C149782125 @default.
- W2898814080 hasConceptScore W2898814080C162118730 @default.
- W2898814080 hasConceptScore W2898814080C162324750 @default.
- W2898814080 hasConceptScore W2898814080C202444582 @default.
- W2898814080 hasConceptScore W2898814080C2524010 @default.
- W2898814080 hasConceptScore W2898814080C2834757 @default.
- W2898814080 hasConceptScore W2898814080C28826006 @default.
- W2898814080 hasConceptScore W2898814080C33923547 @default.
- W2898814080 hasConceptScore W2898814080C48406656 @default.
- W2898814080 hasConceptScore W2898814080C58435881 @default.
- W2898814080 hasConceptScore W2898814080C76374431 @default.
- W2898814080 hasConceptScore W2898814080C91229774 @default.
- W2898814080 hasLocation W28988140801 @default.
- W2898814080 hasOpenAccess W2898814080 @default.
- W2898814080 hasPrimaryLocation W28988140801 @default.
- W2898814080 hasRelatedWork W1558539173 @default.
- W2898814080 hasRelatedWork W185418963 @default.
- W2898814080 hasRelatedWork W1971132156 @default.
- W2898814080 hasRelatedWork W1999354010 @default.
- W2898814080 hasRelatedWork W2012206417 @default.
- W2898814080 hasRelatedWork W2023991402 @default.
- W2898814080 hasRelatedWork W2094018777 @default.
- W2898814080 hasRelatedWork W2145084374 @default.
- W2898814080 hasRelatedWork W2249772899 @default.
- W2898814080 hasRelatedWork W2262215025 @default.
- W2898814080 hasRelatedWork W2296906904 @default.
- W2898814080 hasRelatedWork W2407674936 @default.
- W2898814080 hasRelatedWork W2807670743 @default.
- W2898814080 hasRelatedWork W2972243249 @default.
- W2898814080 hasRelatedWork W3008202372 @default.
- W2898814080 hasRelatedWork W3123686096 @default.
- W2898814080 hasRelatedWork W3124866120 @default.
- W2898814080 hasRelatedWork W3135984658 @default.
- W2898814080 hasRelatedWork W3166563513 @default.
- W2898814080 hasRelatedWork W936708530 @default.
- W2898814080 isParatext "false" @default.
- W2898814080 isRetracted "false" @default.
- W2898814080 magId "2898814080" @default.
- W2898814080 workType "article" @default.