A general class of distortion operators for pricing contingent claims with applications to CAT bonds
Frédéric Godin, Van Son Lai and Denis-Alexandre Trottier
| Year of publication: |
2019
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|---|---|
| Authors: | Godin, Frédéric ; Lai, Van Son ; Trottier, Denis-Alexandre |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2019.2019, 7, p. 558-584
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| Subject: | arbitrage-free pricing | CAT bonds | contingent claim pricing | Distortion operator | distortion risk measure | insurance pricing | Wang transform | Risikomodell | Risk model | Optionspreistheorie | Option pricing theory | CAPM | Risikoprämie | Risk premium | Anleihe | Bond | Risikomaß | Risk measure | Rückversicherung | Reinsurance | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2019.1581837 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194976