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A Note on the Jump-Equilibrium Model

Published online by Cambridge University Press:  10 June 2011

P.P. Huber
P.P. Huber
Affiliation:
Swiss Re Life & Health Limited, International Financial Centre, Old Broad Street, London, EC2N 1HQ, U.K.
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Abstract

This paper considers some of the properties of the jump-equilibrium model suggested by Smith (1996). A more detailed description of the model's derivation is provided. The model is represented in a discrete time format and a number of statistics are derived and discussed.

Keywords

Stochastic Asset ModelsJump-Equilibrium ModelFinancial Economics
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 4 , Issue 3 , 01 August 1998 , pp. 615 - 636
Copyright
Copyright © Institute and Faculty of Actuaries 1998

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References

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