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

التفاصيل البيبلوغرافية
العنوان: An extension of the Wang transform derived from Bühlmann’s economic premium principle for insurance risk
المؤلفون: Masaaki Kijima, Yukio Muromachi
المصدر: Insurance: Mathematics and Economics. 42:887-896
بيانات النشر: Elsevier BV, 2008.
سنة النشر: 2008
مصطلحات موضوعية: Statistics and Probability, Economics and Econometrics, Class (set theory), Multivariate statistics, Equilibrium pricing, Economics, Extension (predicate logic), Statistics, Probability and Uncertainty, Mathematical economics
الوصف: It is well known that the Wang transform [Wang, S.S., 2002. A universal framework for pricing financial and insurance risks. Astin Bull. 32, 213–234] for the pricing of financial and insurance risks is derived from Buhlmann’s economic premium principle [Buhlmann, H., 1980. An economic premium principle. Astin Bull. 11, 52–60]. The transform is extended to the multivariate setting by [Kijima M., 2006. A multivariate extension of equilibrium pricing transforms: The multivariate Esscher and Wang transforms for pricing financial and insurance risks, Astin Bull. 36, 269–283]. This paper further extends the results to derive a class of probability transforms that are consistent with Buhlmann’s pricing formula. The class of transforms is extended to the multivariate setting by using a Gaussian copula, while the multiperiod extension is also possible within the equilibrium pricing framework.
تدمد: 0167-6687
DOI: 10.1016/j.insmatheco.2007.10.010
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::5631eab6611feb63ac5288780dc21bc2
https://doi.org/10.1016/j.insmatheco.2007.10.010
Rights: CLOSED
رقم الانضمام: edsair.doi...........5631eab6611feb63ac5288780dc21bc2
قاعدة البيانات: OpenAIRE
الوصف
تدمد:01676687
DOI:10.1016/j.insmatheco.2007.10.010