A note on the connection between the Esscher-Girsanov transform and the Wang transform
| Year of publication: |
2010
|
|---|---|
| Authors: | Labuschagne, Coenraad C.A. ; Offwood, Theresa M. |
| Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 47.2010, 3, p. 385-390
|
| Publisher: |
Elsevier |
| Keywords: | Choquet integral Distortion function Esscher-Girsanov transform Wang transform |