An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
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.
Year of publication: |
2008
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Authors: | Kijima, Masaaki ; Muromachi, Yukio |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 42.2008, 3, p. 887-896
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Publisher: |
Elsevier |
Saved in:
Online Resource
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