Bayesian Risk Measures for Derivatives via Random Esscher Transform
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Cites work
- scientific article; zbMATH DE number 46366 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 3216701 (Why is no real title available?)
- A stochastic control approach to risk management under restricted information.
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Axiomatic characterization of insurance prices
- Coherent measures of risk
- Investing for Retirement
- Mathematics of financial markets
- Nonparametric risk management and implied risk aversion
- On dynamic measure of risk
- Option pricing: A simplified approach
- Quantile hedging
- Subjective risk measures: Bayesian predictive scenarios analysis
- “Application of Coherent Risk Measures to Capital Requirements in Insurance,” Philippe Artzner, April 1999
Cited in
(19)- Risk measures for derivatives with Markov-modulated pure jump processes
- Stability advances in robust portfolio optimization under parallelepiped uncertainty
- Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
- Option pricing and Esscher transform under regime switching
- On Bayesian value at risk: from linear to non-linear portfolios
- A PDE approach for risk measures for derivatives with regime switching
- How might model uncertainty and transaction costs impact retained earning \& dividend strategies? An examination through a classical insurance risk model
- Robust portfolios: contributions from operations research and finance
- Markovian forward-backward stochastic differential equations and stochastic flows
- Actuarial risk measures for financial derivative pricing
- IMPRECISE PREVISIONS FOR RISK MEASUREMENT
- The estimate and its large sample properties of Esscher risk measure under collective risk models
- A game theoretic approach to option valuation under Markovian regime-switching models
- Subjective risk measures: Bayesian predictive scenarios analysis
- Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
- OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
- A functional Itô's calculus approach to convex risk measures with jump diffusion
- Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
- On a multivariate Markov chain model for credit risk measurement
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