On the Applicability of the Wang Transform for Pricing Financial Risks

DOI10.2143/AST.38.1.2030409zbMath1169.91343OpenAlexW4233751985MaRDI QIDQ3395769

Antoon Pelsser

Publication date: 13 September 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.38.1.2030409

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Related Items (13)

The fundamental theorem of mutual insurance ⋮ Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application ⋮ Model-independent price bounds for catastrophic mortality bonds ⋮ A recursive approach to mortality-linked derivative pricing ⋮ On the pricing of longevity-linked securities ⋮ On the robustness of longevity risk pricing ⋮ A note on the connection between the Esscher-Girsanov transform and the Wang transform ⋮ The minimal entropy martingale measure in a market of traded financial and actuarial risks ⋮ A comparative study of pricing approaches for longevity instruments ⋮ 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 ⋮ Market pricing of longevity-linked securities ⋮ Catastrophe risk bonds with applications to earthquakes

Cites Work

• A Universal Framework for Pricing Financial and Insurance Risks
• Unnamed Item

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