This article studies four transform pricing methods in the context of general equilbrium (GE) framework. The four methods, viz. the Esscher transform, indifference pricing, the Wang transform, and the standard deviation loading, are popular among actuarial literature and practice. The transform...

This article studies four transform pricing methods in the context of general equilibrium (GE) framework. The four methods, viz. the Esscher transform, indifference pricing, the Wang transform, and the standard deviation loading, are popular among actuarial literature and practice. The transform...

This article studies four transform pricing methods in the context of general equilibrium (GE) framework. The four methods, viz. the Esscher transform, indifference pricing, the Wang transform, and the standard deviation loading, are popular among actuarial literature and practice. The transform...

The gamma class of distributions encompasses several important distributions either as special or limiting cases, or through simple transformations. In this paper, we established the link between the real and the risk neutral distributions, and provided a formal proof for the existence of the...

We propose a non-parametric procedure for estimating systemic co-jumps and independent idiosyncratic jumps, and study associated news reported in Factiva and Bloomberg for thirty five stock markets from 1988 to 2014. Our results suggest that it is important to distinguish between systemic...

We propose a simple model for the valuation of sovereign growth linked bonds. The model is calibrated to potential GDP, output gap, real exchange rate and rating implied historical default probabilities. Bond prices are obtained by applying the Esscher transform on the simulated cash flows with...