A note on the connection between the Esscher-Girsanov transform and the Wang transform
AbstractAn elementary proof is presented to show that a connection exists between the Esscher-Girsanov transform and the Wang transform.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 47 (2010)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/inca/505554
Choquet integral Distortion function Esscher-Girsanov transform Wang transform;
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