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Changes of probability measure in finance and insurance : A synthesis

Author

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  • Olivier Le Courtois

    (EM - EMLyon Business School)

  • François Quittard-Pinon

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.

Suggested Citation

  • Olivier Le Courtois & François Quittard-Pinon, 2004. "Changes of probability measure in finance and insurance : A synthesis," Post-Print hal-02312482, HAL.
    • Handle: RePEc:hal:journl:hal-02312482
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