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Document Details : Title: A Multivariate Extension of Equilibrum Pricing Transforms Subtitle: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks Author(s): KIJIMA, Masaaki Journal: ASTIN Bulletin Volume: 36 Issue: 1 Date: May 2006 Pages: 269-283 DOI: 10.2143/AST.36.1.2014152 Abstract : This paper proposes a multivariate extension of the equilibrium pricing transforms for pricing general financial and insurance risks. The multivariate Esscher and Wang transforms are derived from Bühlmann’s equilibrium pricing model (1980) under some assumptions on the aggregate risk. It is shown that the Esscher and Wang transforms coincide with each other when the underlying risks are normally distributed. |
