Equilibrium pricing transforms - new results using Buhlmann`s 1980 economic model

In this paper we revisit an economic model of Buhlmann (ASTIN Bulletin, 1980) and derive equilibrium pricing transforms. We show that the Esscher Transform and the Wang Transform exhibit very different behaviors when used in pricing insurance risks.

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Year of publication:	2003-05-01
Authors:	Wang, Shaun S.
Publisher:	International Actuarial Association / Actuarial Studies in Non-Life Insurance
Subject:	Preispolitik \| pricing policy \| Wahrscheinlichkeitsrechnung

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Extent:	263168 bytes 17 p. application/pdf
Series:	Casualty Actuarial Society - Publications - Astin Bulletin ASTIN Bulletin ; Vol.33, No.1 (2003), 57-73
Type of publication:	Book / Working Paper
Language:	English
Classification:	Management of insurance ; Insurance Industry ; Individual Working Papers, Preprints ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847035