Search Results - subject:"Esscher transform"

Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach

Fard, Farzad Alavi; Siu, Tak Kuen - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 712-721

with a Markov-switching compensator. The Esscher transform is employed to determine an equivalent martingale measure in the …

Persistent link: https://www.econbiz.de/10010719098

Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model

Shen, Yang; Siu, Tak Kuen - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 757-768

In this paper, we discuss three different approaches to select an equivalent martingale measure for the valuation of contingent claims under a Markovian regime-switching Lévy model. These approaches are the game theoretic approach, the Esscher transformation approach and the general equilibrium...

Persistent link: https://www.econbiz.de/10010719112

Pricing options on stocks denominated in different currencies: Theory and illustrations

Ng, Andrew C.Y.; Li, Johnny Siu-Hang; Chan, Wai-Sum - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 339-354

by the multivariate Esscher transform. This valuation methodology is illustrated with an hypothetical investment …

Persistent link: https://www.econbiz.de/10010730247

Pricing rainfall futures at the CME

López Cabrera, Brenda; Odening, Martin; Ritter, Matthias - In: Journal of Banking & Finance 37 (2013) 11, pp. 4286-4298

Esscher transform, a well-known tool in actuarial science. This approach is flexible enough to price any rainfall contract and …

Persistent link: https://www.econbiz.de/10011065696

A Comonotonic Image of Independence for Additive Risk Measures

Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - Tinbergen Institute - 2004

This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...

Persistent link: https://www.econbiz.de/10005450808