• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Summer School
      • Behavioral Macro and Complexity
      • Climate Change
      • (CANCELED) Econometrics and Data Science Methods
      • Networks in Micro- and Macroeconomics
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
  • Alumni
  • Times

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