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14-104/IV/78 - The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks


  • Authors
    Jan Dhaene, KU Leuven, Leuven, Belgium; University of the Freestate, Bloemfontein, South Africa; and Duisenberg school of finance, Amsterdam, the Netherlands; Ben Stassen, KU Leuven, Leuven, Belgium; Pierre Devolder, UC de Louvain, Louvain-La-Neuve, Belgium; Michel Vellekoop, University of Amsterdam, Amsterdam, the Netherlands
  • Publication date
    August 12, 2014
  • Keywords
    Minimal entropy martingale measure, relative entropy, financial risks, actuarial risks, independence, incomplete markets