Determination of Risk Pricing Measures from Market Prices of Risk
A new insurance provider or a regulatory agency may be interested in determining a risk measure consistent with observed market prices of a collection of risks. Using a relationship between distorted coherent risk measures and spectral risk measures, we provide a method for reconstruction distortion functions from the observed prices of risk. The technique is based on an appropriate application of the method on maximum entropy in the mean.
|Date of creation:||01 Jun 2007|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.unav.edu/web/facultad-de-ciencias-economicas-y-empresariales|
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