Risk Measures and Asset Pricing Models with New Versions of Wang Transform

DOI10.1007/978-3-642-35443-4_11zbMath1322.91054OpenAlexW2231953506MaRDI QIDQ2950564

Baokun Li, Weizhong Tian, Tonghui Wang

Publication date: 9 October 2015

Published in: Uncertainty Analysis in Econometrics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-35443-4_11

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Distortion Risk Measures Under Skew Normal Settings

Cites Work

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• Representation of the Choquet integral with the \(\sigma\)-additive Möbius transform
• A synthesis of risk measures for capital adequacy
• Coherent Measures of Risk
• On Stop-Loss Order and the Distortion Pricing Principle
• On Bayesian Modeling of Fat Tails and Skewness
• Distortion Risk Measures and Economic Capital

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