Premium Calculation Based on Physical Principles
Statistical Mechanics
2008-12-10 v1 Pricing of Securities
Abstract
We consider the concept of equilibrium in economic systems from statistical mechanics viewpoint. A new method is suggested for computing the premium on this basis. The B\"{u}hlmann economic premium principle is derived as a special case of our method.
Cite
@article{arxiv.cond-mat/0401308,
title = {Premium Calculation Based on Physical Principles},
author = {Amir H. Darooneh},
journal= {arXiv preprint arXiv:cond-mat/0401308},
year = {2008}
}
Comments
9 pages, 3 figures, revtex4