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A note on the connection between the Esscher-Girsanov transform and the Wang transform

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  • Labuschagne, Coenraad C.A.
  • Offwood, Theresa M.
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    Abstract

    An elementary proof is presented to show that a connection exists between the Esscher-Girsanov transform and the Wang transform.

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    File URL: http://www.sciencedirect.com/science/article/B6V8N-50S2R3V-1/2/3bed6677a2aa2ed8c48e721942e003e2
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 47 (2010)
    Issue (Month): 3 (December)
    Pages: 385-390

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    Handle: RePEc:eee:insuma:v:47:y:2010:i:3:p:385-390

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    Web page: http://www.elsevier.com/locate/inca/505554

    Related research

    Keywords: Choquet integral Distortion function Esscher-Girsanov transform Wang transform;

    References

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    1. Chateauneuf, A. & Kast, R. & Lapied, A., 1992. "Choquet Pricing for Financial Markets with Frictions," G.R.E.Q.A.M. 92a11, Universite Aix-Marseille III.
    2. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    3. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A. & Tang, Qihe, 2004. "A comonotonic image of independence for additive risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 581-594, December.
    4. Kijima, Masaaki & Muromachi, Yukio, 2008. "An extension of the Wang transform derived from B├╝hlmann's economic premium principle for insurance risk," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 887-896, June.
    5. Goovaerts, Marc J. & Laeven, Roger J.A., 2008. "Actuarial risk measures for financial derivative pricing," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 540-547, April.
    6. Badescu, Alex & Elliott, Robert J. & Siu, Tak Kuen, 2009. "Esscher transforms and consumption-based models," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 337-347, December.
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    Cited by:
    1. Boyer, M. Martin & Stentoft, Lars, 2013. "If we can simulate it, we can insure it: An application to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 35-45.
    2. Zhu, Li & Li, Haijun, 2012. "Tail distortion risk and its asymptotic analysis," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 115-121.
    3. Labuschagne, Coenraad C.A. & Offwood, Theresa M., 2013. "Pricing exotic options using the Wang transform," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 139-150.

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