Dam rain and cumulative gain

@inproceedings{Brody2008DamRA,
  title={Dam rain and cumulative gain},
  author={Dorje C. Brody and Lane P. Hughston and Andrea Macrina},
  year={2008}
}
We consider a financial contract that delivers a single cash flow given by the terminal value of a cumulative gains process. The problem of modelling such an asset and associated derivatives is important, for example, in the determination of optimal insurance claims reserve policies, and in the pricing of reinsurance contracts. In the insurance setting, aggregate claims play the role of cumulative gains, and the terminal cash flow represents the totality of the claims payable for the given… CONTINUE READING

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