A general class of distortion operators for pricing contingent claims with applications to CAT bonds

DOI10.1080/03461238.2019.1581837zbMath1422.91695OpenAlexW2751776381WikidataQ125994960 ScholiaQ125994960MaRDI QIDQ5228143

Frédéric Godin, Denis-Alexandre Trottier, Van Son Lai

Publication date: 9 August 2019

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2019.1581837

zbMATH Keywords

distortion risk measureWang transformarbitrage-free pricingcontingent claim pricinginsurance pricingCAT bondsdistortion operator

Mathematics Subject Classification ID

Related Items (1)

Endogenous Inverse Demand Functions

Cites Work

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