Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
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Publication:4449552
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Cites work
- scientific article; zbMATH DE number 1454625 (Why is no real title available?)
- A class of non-expected utility risk measures and implications for asset allocations
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Risk measures and insurance premium principles.
- The Dual Theory of Choice under Risk
Cited in
(19)- Actuarial pricing with financial methods
- Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints
- Behavioral premium principles
- On some claims related to Choquet integral risk measures
- A Universal Framework for Pricing Financial and Insurance Risks
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
- A general class of distortion operators for pricing contingent claims with applications to CAT bonds
- Option overlay strategies
- Asset allocation with distorted beliefs and transaction costs
- An actuarial premium pricing model for nonnormal insurance and financial risks in incomplete markets
- Risk pricing in a non-expected utility framework
- Good deals in markets with friction
- An extended set of risk neutral valuation relationships for the pricing of contingent claims
- Zur Bewertung von Versicherung als Option
- Insurance Premium Calculations with Anticipated Utility Theory
- Option pricing by probability distortion operator based on the quantile function
- Quasi risk-neutral pricing in insurance
- Estimation of tail risk and moments using option prices with a novel pricing model under a distorted lognormal distribution
- Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework
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