A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
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DOI：
10.1017/s0515036100014483
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发表时间：
2006-05
期刊：
影响因子：
--
通讯作者：
M. Kijima
中科院分区：
文献类型：
--
作者：
M. Kijima
本文提出了一个多元扩展的均衡定价转换定价一般金融和保险风险。多元Esscher变换和Wang变换是在对总风险的一些假设下从Bühlmann的均衡定价模型（1980）导出的。结果表明，当潜在风险服从正态分布时，Esscher变换和Wang变换是一致的。
This paper proposes a multivariate extension of the equilibrium pricing transforms for pricing general financial and insurance risks. The multivariate Esscher and Wang transforms are derived from Bühlmann’s equilibrium pricing model (1980) under some assumptions on the aggregate risk. It is shown that the Esscher and Wang transforms coincide with each other when the underlying risks are normally distributed.