Changes of probability measure in finance and insurance: A synthesis

Olivier Le Courtois and François Quittard-Pinon
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Olivier Le Courtois: EM - EMLyon Business School

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Abstract: This paper studies 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 mean of keeping a privileged probability measure. These approaches are compared and new insights on them are given. This article gives a unifying point of view and makes a synthesis on the subject.

Date: 2004-12-01
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Published in Finance, 2004, 25, pp.95-120 P

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02312482

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