Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077157 | Insurance: Mathematics and Economics | 2008 | 10 Pages |
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.