Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory

DOI10.1080/1350486032000069580zbMath1064.91043OpenAlexW2160275792MaRDI QIDQ4449552

Michael Sherris, Mahmoud Hamada

Publication date: 11 February 2004

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486032000069580

zbMATH Keywords

non-expected utilityBlack-Scholesinsurance pricing

Mathematics Subject Classification ID

Related Items (10)

Estimation of tail risk and moments using option prices with a novel pricing model under a distorted lognormal distribution ⋮ Actuarial pricing with financial methods ⋮ Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework ⋮ Good deals in markets with friction ⋮ Asset allocation with distorted beliefs and transaction costs ⋮ On some claims related to Choquet integral risk measures ⋮ Option overlay strategies ⋮ 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 ⋮ Behavioral premium principles

Cites Work

• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Risk measures and insurance premium principles.
• The Dual Theory of Choice under Risk
• A class of non-expected utility risk measures and implications for asset allocations
• Unnamed Item

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