Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory

DOI10.1080/1350486032000069580zbMATH Open1064.91043OpenAlexW2160275792MaRDI QIDQ4449552FDOQ4449552

Michael Sherris, Mahmoud Hamada

Publication date: 11 February 2004

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486032000069580

Recommendations

• A general class of distortion operators for pricing contingent claims with applications to CAT bonds
• A more accurate finite difference approach to the pricing of contingent claims
• On the pricing of contingent claims under constraints
• The distortion principle for insurance pricing: properties, identification and robustness
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• An asymptotic expansion approach to pricing financial contingent claims
• scientific article; zbMATH DE number 1150529
• Utility based pricing of contingent claims in incomplete markets

zbMATH Keywords

Black-Scholesnon-expected utilityinsurance pricing

Mathematics Subject Classification ID

Cites Work

• The Dual Theory of Choice under Risk
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Title not available (Why is that?)
• A class of non-expected utility risk measures and implications for asset allocations
• Risk measures and insurance premium principles.

Cited In (15)

• 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
• Good deals in markets with friction
• Zur Bewertung von Versicherung als Option
• Insurance Premium Calculations with Anticipated Utility Theory
• Option pricing by probability distortion operator based on the quantile function
• 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

This page was built for publication: Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4449552)