Bayesian Risk Measures for Derivatives via Random Esscher Transform

DOI10.1080/10920277.2001.10596000zbMath1083.62544OpenAlexW2056111989MaRDI QIDQ5718221

Tak Kuen Siu, Hailiang Yang, Howell Tong

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2001.10596000

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items (14)

Backward stochastic difference equations for dynamic convex risk measures on a binomial tree ⋮ A functional Itô's calculus approach to convex risk measures with jump diffusion ⋮ Risk measures for derivatives with Markov-modulated pure jump processes ⋮ Markovian forward-backward stochastic differential equations and stochastic flows ⋮ On Bayesian value at risk: from linear to non-linear portfolios ⋮ Stability advances in robust portfolio optimization under parallelepiped uncertainty ⋮ A game theoretic approach to option valuation under Markovian regime-switching models ⋮ IMPRECISE PREVISIONS FOR RISK MEASUREMENT ⋮ Option pricing and Esscher transform under regime switching ⋮ A PDE approach for risk measures for derivatives with regime switching ⋮ Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options ⋮ Robust portfolios: contributions from operations research and finance ⋮ On a multivariate Markov chain model for credit risk measurement ⋮ OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING

Uses Software

• RiskMetrics

Cites Work

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• “Application of Coherent Risk Measures to Capital Requirements in Insurance,” Philippe Artzner, April 1999
• Investing for Retirement
• Application of Coherent Risk Measures to Capital Requirements in Insurance

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