A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks (Q3632871): Difference between revisions

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scientific article

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English	A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks	scientific article

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title

A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks (English)

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15 June 2009

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MaRDI profile type

MaRDI publication profile

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cites work

PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS

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Martingales and arbitrage in multiperiod securities markets

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The Pricing of Options and Corporate Liabilities

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Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model

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A Universal Framework for Pricing Financial and Insurance Risks

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The multivariate normal distribution

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full work available at URL

https://doi.org/10.2143/ast.36.1.2014152

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Identifiers

zbMATH Open document ID

1162.91418

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DOI

10.2143/AST.36.1.2014152

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Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Publication:3632871

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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
+Normal rank
@@ Property / cites work @@
+A Universal Framework for Pricing Financial and Insurance Risks
+Normal rank
@@ Property / cites work @@
+The multivariate normal distribution
@@ Property / cites work: The multivariate normal distribution / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.2143/ast.36.1.2014152
+Normal rank
@@ Property / OpenAlex ID @@
+W4230824245
@@ Property / OpenAlex ID: W4230824245 / rank @@
+Normal rank