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