Gamma approximation of stochastic integrals

• Main Author: Nicholas, Susanto Tjandra
• Other Authors: Nicolas Privault
• Format: Final Year Project
• Language: English
• Published: 2019
• Subjects: DRNTU::Science::Mathematics
• Online Access: http://hdl.handle.net/10356/77151
• Institution: Nanyang Technological University

This project provides a way to model the distribution of random processes and their cumulative values, which have their applications, but not limited to, the pricing of actuarial and financial derivatives. Specifically, reinsurance Stop-Loss contracts depend on the terminal cumulative loss, where kn...