A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks

DOI10.2143/AST.36.1.2014152zbMath1162.91418OpenAlexW4230824245MaRDI QIDQ3632871

Publication date: 15 June 2009

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

Full work available at URL: https://doi.org/10.2143/ast.36.1.2014152

Mathematics Subject Classification ID

Related Items (16)

Distortion Risk Measures Under Skew Normal Settings ⋮ ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS ⋮ Pricing of CDOs based on the multivariate Wang transform ⋮ Comparison of increasing directionally convex transformations of random vectors with a common copula ⋮ Longevity hedge effectiveness using socioeconomic indices ⋮ Pricing and securitization of multi-country longevity risk with mortality dependence ⋮ A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions ⋮ Multivariate Tweedie distributions and some related capital-at-risk analyses ⋮ An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk ⋮ VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD ⋮ Implied liquidity risk premia in option markets ⋮ Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models ⋮ A general class of distortion operators for pricing contingent claims with applications to CAT bonds ⋮ Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing ⋮ On the distortion of a copula and its margins ⋮ Normalized Exponential Tilting

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