کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077157 | 1374120 | 2008 | 10 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk](/preview/png/5077157.png)
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 Bühlmann's economic premium principle [Bühlmann, 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 Bühlmann'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.
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 3, June 2008, Pages 887-896