A note on the connection between the Esscher-Girsanov transform and the Wang transform
An elementary proof is presented to show that a connection exists between the Esscher-Girsanov transform and the Wang transform.
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- Pelsser, Antoon, 2008. "On the Applicability of the Wang Transform for Pricing Financial Risks," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 38(01), pages 171-181, May.
- Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A. & Tang, Qihe, 2004.
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- Kijima, Masaaki & Muromachi, Yukio, 2008. "An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 887-896, June.
- Chateauneuf, A. & Kast, R. & Lapied, A., 1992.
"Choquet Pricing for Financial Markets with Frictions,"
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- Gerber, Hans U., 1974. "On Additive Premium Calculation Principles," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 7(03), pages 215-222, March.
- Wang, Shaun S., 2003. "Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 33(01), pages 57-73, May.
- 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.
- 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.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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