A note on the connection between the Esscher-Girsanov transform and the Wang transform

DOI10.1016/J.INSMATHECO.2010.08.004MaRDI QIDQ661264zbMATH OpenOpenAlexFDO

Authors Coenraad C. A. Labuschagne, Theresa M. Offwood

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2010.08.004

zbMATH Keywords

Choquet integraldistortion functionEsscher-Girsanov transformWang transform

Mathematics Subject Classification ID

Contents, measures, outer measures, capacities (28A12) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A comonotonic image of independence for additive risk measures
• Actuarial risk measures for financial derivative pricing
• An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• Coherent measures of risk
• Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
• Esscher transforms and consumption-based models
• scientific article; zbMATH DE number 3844885 (Why is no real title available?)
• Normalized Exponential Tilting
• On the Applicability of the Wang Transform for Pricing Financial Risks
• Theory of capacities

Cited in

(10)

• The minimal entropy martingale measure in a market of traded financial and actuarial risks
• Stochastic comparisons of distorted variability measures
• Dynamic consumption and portfolio choice under prospect theory
• The fundamental theorem of mutual insurance
• Tail distortion risk and its asymptotic analysis
• Model-independent price bounds for catastrophic mortality bonds
• Systemic risk: conditional distortion risk measures
• A general class of distortion operators for pricing contingent claims with applications to CAT bonds
• Longevity hedge effectiveness using socioeconomic indices
• A recursive approach to mortality-linked derivative pricing

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