A note on the connection between the Esscher-Girsanov transform and the Wang transform
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Publication:661264
DOI10.1016/J.INSMATHECO.2010.08.004zbMath1231.60062OpenAlexW2059056390MaRDI QIDQ661264
Coenraad C. A. Labuschagne, Theresa M. Offwood
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.2010.08.004
Contents, measures, outer measures, capacities (28A12) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (10)
The fundamental theorem of mutual insurance ⋮ Model-independent price bounds for catastrophic mortality bonds ⋮ Systemic risk: conditional distortion risk measures ⋮ Longevity hedge effectiveness using socioeconomic indices ⋮ A recursive approach to mortality-linked derivative pricing ⋮ Tail distortion risk and its asymptotic analysis ⋮ The minimal entropy martingale measure in a market of traded financial and actuarial risks ⋮ Stochastic comparisons of distorted variability measures ⋮ Dynamic consumption and portfolio choice under prospect theory ⋮ A general class of distortion operators for pricing contingent claims with applications to CAT bonds
Cites Work
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- Esscher transforms and consumption-based models
- An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
- Actuarial risk measures for financial derivative pricing
- A comonotonic image of independence for additive risk measures
- Theory of capacities
- Coherent Measures of Risk
- On the Applicability of the Wang Transform for Pricing Financial Risks
- CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
- Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
- Normalized Exponential Tilting
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