A method for determining risk aversion functions from uncertain market prices of risk
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References listed on IDEAS
- 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.
- 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, 2007. "Determination of Risk Pricing Measures from Market Prices of Risk," Faculty Working Papers 03/07, School of Economics and Business Administration, University of Navarra.
- Wang, Shaun, 1996. "Premium Calculation by Transforming the Layer Premium Density," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 26(01), pages 71-92, May.
- 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.
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- Gzyl, Henryk & Mayoral, Silvia, 2016. "Determination of zero-coupon and spot rates from treasury data by maximum entropy methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 38-50.
- Gzyl, Henryk & ter Horst, Enrique & Molina, German, 2015. "Application of the method of maximum entropy in the mean to classification problems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 101-108.
More about this item
KeywordsDistortion function Spectral measures Risk aversion function Maximum entropy in the mean Inverse problems for noisy data;
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