An extension of the Wang transform derived from Bühlmann’s economic premium principle for insurance risk
- 作者：Masaaki Kijima ; Yukio Muromachi
- 关键词：Bü ; hlmann’ ; s equilibrium price ; Wang transform ; Gaussian copula ; non-central none ; color ; black" href="/science?_ob=MathURL&_method=retrieve&_udi=B6V8N-4R2H7V6-1&_mathId=mml11&_user=1067359&_cdi=5875&
- 刊名：Insurance ; Mathematics and Economics
- 出版年：2008
- 期刊代码：25_01676687
- 类别：mt
- 出版时间：June 2008
- 卷：42
- 期：3
- 页码：887-896
- 文件大小：756 K
摘要
It is well known that the Wang transform [Wang, S.S., 2002. A universal framework for pricing financial and insurance risks. Astin Bull. 32, 213–234] for the pricing of financial and insurance risks is derived from Bühlmann’s economic premium principle [Bühlmann, H., 1980. An economic premium principle. Astin Bull. 11, 52–60]. The transform is extended to the multivariate setting by [Kijima M., 2006. A multivariate extension of equilibrium pricing transforms: The multivariate Esscher and Wang transforms for pricing financial and insurance risks, Astin Bull. 36, 269–283]. This paper further extends the results to derive a class of probability transforms that are consistent with Bühlmann’s pricing formula. The class of transforms is extended to the multivariate setting by using a Gaussian copula, while the multiperiod extension is also possible within the equilibrium pricing framework.