An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk

DOI10.1016/J.INSMATHECO.2007.10.010zbMath1141.91520OpenAlexW2079816079MaRDI QIDQ931166

Masaaki Kijima, Yukio Muromachi

Publication date: 25 June 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.10.010

zbMATH Keywords

Gaussian copulaWang transformBühlmann's equilibrium pricenon-central \(t\) distribution

Mathematics Subject Classification ID

Related Items (7)

Pricing of CDOs based on the multivariate Wang transform ⋮ Comparison of increasing directionally convex transformations of random vectors with a common copula ⋮ A note on the connection between the Esscher-Girsanov transform and the Wang transform ⋮ Implied liquidity risk premia in option markets ⋮ Longevity risk, cost of capital and hedging for life insurers under Solvency II ⋮ 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

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