An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
From MaRDI portal
Publication:931166
DOI10.1016/J.INSMATHECO.2007.10.010zbMath1141.91520OpenAlexW2079816079MaRDI QIDQ931166
Masaaki Kijima, Yukio Muromachi
Publication date: 25 June 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.10.010
Related Items (7)
Pricing of CDOs based on the multivariate Wang transform ⋮ Comparison of increasing directionally convex transformations of random vectors with a common copula ⋮ A note on the connection between the Esscher-Girsanov transform and the Wang transform ⋮ Implied liquidity risk premia in option markets ⋮ Longevity risk, cost of capital and hedging for life insurers under Solvency II ⋮ Option pricing by probability distortion operator based on the quantile function ⋮ A general class of distortion operators for pricing contingent claims with applications to CAT bonds
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Actuarial risk measures for financial derivative pricing
- Martingales and arbitrage in multiperiod securities markets
- An introduction to copulas. Properties and applications
- Actuarial bridges to dynamic hedging and option pricing
- An economic premium principle in a multiperiod economy.
- On the term structure of lending interest rates when a fraction of collateral is recovered upon default
- A comonotonic image of independence for additive risk measures
- A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
- PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
- A Universal Framework for Pricing Financial and Insurance Risks
- Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
This page was built for publication: An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk