A method for determining risk aversion functions from uncertain market prices of risk
AbstractIn Gzyl and Mayoral (2008) we developed a technique to solve the following type of problems: How to determine a risk aversion function equivalent to pricing a risk with a load, or equivalent to pricing different risks by means of the same risk distortion function. The information on which the procedure is based consists of the market prices of the risk. Here we extend that method to cover the case in which there may be uncertainties in the market prices of the risks.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 47 (2010)
Issue (Month): 1 (August)
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Web page: http://www.elsevier.com/locate/inca/505554
Distortion function Spectral measures Risk aversion function Maximum entropy in the mean Inverse problems for noisy data;
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- Gzyl, Henryk & Mayoral, Silvia, 2008.
"Determination of risk pricing measures from market prices of risk,"
Insurance: Mathematics and Economics,
Elsevier, vol. 43(3), pages 437-443, December.
- Henryk Gzyl & Silvia Mayoral, . "Determination of Risk Pricing Measures from Market Prices of Risk," Faculty Working Papers 03/07, School of Economics and Business Administration, University of Navarra.
- Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
- D. Vyncke & M. J. Goovaerts & A. De Schepper & R. Kaas & J. Dhaene, 2003.
"On the Distribution of Cash Flows Using Esscher Transforms,"
Journal of Risk & Insurance,
The American Risk and Insurance Association, vol. 70(3), pages 563-575.
- Vyncke, David & Goovaerts, Marc & De Schepper, A & Kaas, Robert & Dhaene, Jan, 2001. "On the distribution of cash-flows using Esscher transforms," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/118649, Katholieke Universiteit Leuven.
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