An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
type: Item
instance of: scholarly article
title: An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
zbMATH Open document ID: 1141.91520
author: Masaaki Kijima
author: Yukio Muromachi
published in: Insurance Mathematics \& Economics
publication date: 2008-06-25T00:00:00Z
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5292526
zbMATH Keywords: Bühlmann's equilibrium price
zbMATH Keywords: Wang transform
zbMATH Keywords: Gaussian copula
zbMATH Keywords: non-central \(t\) distribution
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2007.10.010
OpenAlex ID: W2079816079
cites work: Q4221330
cites work: Actuarial bridges to dynamic hedging and option pricing
cites work: A comonotonic image of independence for additive risk measures
cites work: Actuarial risk measures for financial derivative pricing
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: An economic premium principle in a multiperiod economy.
cites work: Q4856610
cites work: Q5615180
cites work: A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
cites work: On the term structure of lending interest rates when a fraction of collateral is recovered upon default
cites work: PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
cites work: An introduction to copulas. Properties and applications
cites work: A Universal Framework for Pricing Financial and Insurance Risks
cites work: Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
DOI: 10.1016/J.INSMATHECO.2007.10.010
description: scientific article; zbMATH DE number 5292526