Changes of Probability Measures in Finance and Insurance: A Synthesis

Revue Finance, Vol. 25, Special Issue, p. 95-120, 2004

25 Pages Posted: 7 Feb 2017

See all articles by Olivier Le Courtois

Olivier Le Courtois

EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control

Francois Quittard-Pinon

University of Lyon 1 - Institute of Finance and Insurance Science (ISFA)

Date Written: 2004

Abstract

In this paper, we study various ways of changing probability measures with applications to Finance and Insurance. Changes of numéraire and Esscher transforms are considered, just as pricing kernels which are, in a complementary direction, a means of keeping a privileged probability measure. These approaches are compared and new insights on them are given. We set ourselves in both a diffusive and a Lévy framework.

Suggested Citation

Le Courtois, Olivier Arnaud and Quittard-Pinon, Francois, Changes of Probability Measures in Finance and Insurance: A Synthesis (2004). Revue Finance, Vol. 25, Special Issue, p. 95-120, 2004. Available at SSRN: https://ssrn.com/abstract=2912830

Olivier Arnaud Le Courtois (Contact Author)

EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control ( email )

23, av. Guy de Collongue
69134 Ecully Cedex
France

Francois Quittard-Pinon

University of Lyon 1 - Institute of Finance and Insurance Science (ISFA) ( email )

50, Avenue Tony Garnier
Lyon Cedex 07, 69366
France

Register to save articles to
your library

Register

Paper statistics

Downloads
12
Abstract Views
68
PlumX Metrics