An account of the first encounter,in 1938, of de Finetti with the notion of martingale is given. The reasons, of an actuarial nature, which led him to deal with the subject are explained, along with a description of the ensuing original contributions to the specific field of martingales. The value of some of his conclusions is, then, discussed in the light of later development of the theory. The note is completed by a few remarks about an interpretative problem concerning the connection between the risk aversion criterion and the (actuarial)criterion based on the riskiness level.
Bruno de Finetti's encounter with martingales / Regazzini, E; Spizzichino, Fabio. - In: JOURN@L ÉLECTRONIQUE D'HISTOIRE DES PROBABILITÉS ET DE LA STATISTIQUE. - ISSN 1773-0074. - ELETTRONICO. - 7:(2011).
Bruno de Finetti's encounter with martingales
SPIZZICHINO, Fabio
2011
Abstract
An account of the first encounter,in 1938, of de Finetti with the notion of martingale is given. The reasons, of an actuarial nature, which led him to deal with the subject are explained, along with a description of the ensuing original contributions to the specific field of martingales. The value of some of his conclusions is, then, discussed in the light of later development of the theory. The note is completed by a few remarks about an interpretative problem concerning the connection between the risk aversion criterion and the (actuarial)criterion based on the riskiness level.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
