A method for determining risk aversion functions from uncertain market prices of risk

DOI10.1016/J.INSMATHECO.2010.03.011zbMath1231.91194OpenAlexW2065368225MaRDI QIDQ661212

Henryk Gzyl, Silvia Mayoral

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.03.011

zbMATH Keywords

spectral measuresdistortion functionmaximum entropy in the meaninverse problems for noisy datarisk aversion function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Application of the method of maximum entropy in the mean to classification problems ⋮ Density reconstructions with errors in the data

Cites Work

• Solving Fredholm equations by maximum entropy on the mean. Application to superresolution
• Determination of risk pricing measures from market prices of risk
• Normalized Exponential Tilting
• Maximum entropy in the mean: A useful tool for constrained linear problems

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