Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/50710
Full metadata record
DC FieldValueLanguage
dc.contributor.authorRuban, Olegen_US
dc.contributor.authorVitiello, Luizen_US
dc.contributor.authorPoon, Ser-Huangen_US
dc.date.accessioned2011-04-27en_US
dc.date.accessioned2011-10-24T07:57:41Z-
dc.date.available2011-10-24T07:57:41Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/50710-
dc.description.abstractThis 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 pricing methods offer a convenient solution to contingent claim pricing problem with the underlying risk exposure cannot be fully hedged. We show analytically that these four methods are similar and close to the GE approach if the utility has an exponential function, and the underlying distribution is Normal. When the payoff distribution is non-gaussian, prices produced by the four methods vary widely. Moreover, some transform methods may lead to prices that are not coherent, violating one or more of the following properties; additivity, homogeneity, scale invariance and monotonicity. We discuss the implications of our findings on incomplete market pricing.en_US
dc.language.isoengen_US
dc.publisher|aManchester Business School |cManchesteren_US
dc.relation.ispartofseries|aManchester Business School working paper |x592en_US
dc.subject.jelD52en_US
dc.subject.jelG13en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordEsscher transformen_US
dc.subject.keywordindifference pricingen_US
dc.subject.keywordWang transformen_US
dc.subject.keywordstandard deviation loadingen_US
dc.titleActuarial transform pricingen_US
dc.typeWorking Paperen_US
dc.identifier.ppn656912847en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

Files in This Item:
File
Size
330.63 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.