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Actuarial risk measures for financial derivative pricing

Citations

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Cited by:

  1. Dhaene, Jan & Laeven, Roger J.A. & Zhang, Yiying, 2022. "Systemic risk: Conditional distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 126-145.
  2. Albrecht, Peter & Huggenberger, Markus, 2017. "The fundamental theorem of mutual insurance," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 180-188.
  3. Henryk Gzyl & Silvia Mayoral, 2006. "On a relationship between distorted and spectral risk measures," Faculty Working Papers 15/06, School of Economics and Business Administration, University of Navarra.
  4. Ghossoub, Mario, 2019. "Budget-constrained optimal insurance with belief heterogeneity," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 79-91.
  5. Chaoqun Ma & Shengjie Yue & Hui Wu & Yong Ma, 2020. "Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 391-429, August.
  6. Furman, Edward & Zitikis, Ricardas, 2008. "Weighted risk capital allocations," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 263-269, October.
  7. Sordo, Miguel A. & Suárez-Llorens, Alfonso, 2011. "Stochastic comparisons of distorted variability measures," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 11-17, July.
  8. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2010. "A note on additive risk measures in rank-dependent utility," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 187-189, October.
  9. Gzyl, Henryk & Mayoral, Silvia, 2008. "Determination of risk pricing measures from market prices of risk," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 437-443, December.
  10. Ariyafar, Saeed & Tata, Mahbanoo & Rezapour, Mohsen & Madadi, Mohsen, 2020. "Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
  11. Goovaerts, Marc & Linders, Daniël & Van Weert, Koen & Tank, Fatih, 2012. "On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 10-18.
  12. Boyer, M. Martin & Stentoft, Lars, 2013. "If we can simulate it, we can insure it: An application to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 35-45.
  13. Godin, Frédéric & Lai, Van Son & Trottier, Denis-Alexandre, 2019. "Option pricing under regime-switching models: Novel approaches removing path-dependence," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 130-142.
  14. Liew, Chuin Ching & Siu, Tak Kuen, 2010. "A hidden Markov regime-switching model for option valuation," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 374-384, December.
  15. Lau, John W. & Siu, Tak Kuen, 2008. "On option pricing under a completely random measure via a generalized Esscher transform," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 99-107, August.
  16. Pelsser, Antoon & Salahnejhad Ghalehjooghi, Ahmad, 2016. "Time-consistent actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 97-112.
  17. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1166-1174, June.
  18. Li, Peng & Lim, Andrew E.B. & Shanthikumar, J. George, 2010. "Optimal risk transfer for agents with germs," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 1-12, August.
  19. Labuschagne, Coenraad C.A. & Offwood, Theresa M., 2010. "A note on the connection between the Esscher-Girsanov transform and the Wang transform," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 385-390, December.
  20. Roger J. A. Laeven & Mitja Stadje, 2014. "Robust Portfolio Choice and Indifference Valuation," Mathematics of Operations Research, INFORMS, vol. 39(4), pages 1109-1141, November.
  21. Peggy Cénac & Stéphane Loisel & Véronique Maume-Deschamps & Clémentine Prieur, 2014. "Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation," Post-Print hal-00816894, HAL.
  22. Laeven, R.J.A. & Stadje, M.A., 2011. "Entropy Coherent and Entropy Convex Measures of Risk," Discussion Paper 2011-031, Tilburg University, Center for Economic Research.
  23. Raj Kumari Bahl & Sotirios Sabanis, 2016. "Model-Independent Price Bounds for Catastrophic Mortality Bonds," Papers 1607.07108, arXiv.org, revised Dec 2020.
  24. Siu, Tak Kuen, 2023. "European option pricing with market frictions, regime switches and model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 233-250.
  25. Corradini, M. & Gheno, A., 2009. "Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 180-187, October.
  26. Shang, Zhaoning & Goovaerts, Marc & Dhaene, Jan, 2011. "A recursive approach to mortality-linked derivative pricing," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 240-248, September.
  27. Fard, Farzad Alavi, 2015. "Analytical pricing of vulnerable options under a generalized jump–diffusion model," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 19-28.
  28. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.
  29. Bahl, Raj Kumari & Sabanis, Sotirios, 2021. "Model-independent price bounds for Catastrophic Mortality Bonds," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 276-291.
  30. Frédéric Godin & Van Son Lai & Denis-Alexandre Trottier, 2019. "A general class of distortion operators for pricing contingent claims with applications to CAT bonds," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2019(7), pages 558-584, August.
  31. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2010. "Decision principles derived from risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 294-302, December.
  32. Belzunce, Félix & Suárez-Llorens, Alfonso & Sordo, Miguel A., 2012. "Comparison of increasing directionally convex transformations of random vectors with a common copula," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 385-390.
  33. Major, John A., 2018. "Distortion measures and homogeneous financial derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 82-91.
  34. repec:cte:idrepe:22932 is not listed on IDEAS
  35. Kaluszka, M. & Laeven, R.J.A. & Okolewski, A., 2012. "A note on weighted premium calculation principles," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 379-381.
  36. Chen, Hua & Cox, Samuel H. & Wang, Shaun S., 2010. "Is the Home Equity Conversion Mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 371-384, April.
  37. Fabio Bellini & Pablo Koch-Medina & Cosimo Munari & Gregor Svindland, 2018. "Law-invariant functionals on general spaces of random variables," Papers 1808.00821, arXiv.org, revised Jan 2021.
  38. Badescu, Alex & Elliott, Robert J. & Siu, Tak Kuen, 2009. "Esscher transforms and consumption-based models," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 337-347, December.
  39. Boonen, Tim J., 2017. "Risk Redistribution Games With Dual Utilities," ASTIN Bulletin, Cambridge University Press, vol. 47(1), pages 303-329, January.
  40. Kijima, Masaaki & Muromachi, Yukio, 2008. "An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 887-896, June.
  41. Zhu, Li & Li, Haijun, 2012. "Tail distortion risk and its asymptotic analysis," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 115-121.
  42. Fabio Bellini & Lorenzo Mercuri, 2014. "Option pricing in a conditional Bilateral Gamma model," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 373-390, June.
  43. van Bilsen, Servaas & Laeven, Roger J.A., 2020. "Dynamic consumption and portfolio choice under prospect theory," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 224-237.
  44. Clea Beatriz Macagnan & Cristiane Benetti & Luiz Alberto Mangoni & Daniel Francisco Vancin, 2024. "Pension Funds: The Importance of Corporate Governance," Journal of Information Economics, Anser Press, vol. 2(2), pages 24-45, June.
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