An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk

DOI10.1016/j.insmatheco.2007.10.010zbMath1141.91520MaRDI 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

zbMATH Keywords

Gaussian copula; Wang transform; Bühlmann's equilibrium price; non-central \(t\) distribution

Mathematics Subject Classification ID

Related Items

Pricing of CDOs based on the multivariate Wang transform, A note on the connection between the Esscher-Girsanov transform and the Wang transform

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