Determination of risk pricing measures from market prices of risk
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Publication:2518550
DOI10.1016/j.insmatheco.2008.08.008zbMath1152.91584OpenAlexW2094205943MaRDI QIDQ2518550
Publication date: 16 January 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://www.unav.edu/documents/10174/6546776/1217957827_Determination_of_Risk_Measures.pdf
spectral measuresinverse problemsdistortion functionmaximum entropy in the meanrisk aversion function
Related Items (7)
A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities ⋮ Properties of distortion risk measures ⋮ Similar risks have similar prices: a useful and exact quantification ⋮ A method for determining risk aversion functions from uncertain market prices of risk ⋮ Bayesian Nonparametric Calibration and Combination of Predictive Distributions ⋮ A general class of distortion operators for pricing contingent claims with applications to CAT bonds ⋮ Consistent modeling of risk averse behavior with spectral risk measures
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