A multivariate extension of equilibrium pricing transforms: The multivariate esscher and wang transforms for pricing financial and insurance risks

ASTIN Bulletin

Volumn 36, Issue 1, 2006, Pages 269-283

  Kijima, Masaaki ^a  

^a KYOTO UNIVERSITY   (Japan)

Author keywords

Equilibrium pricing; Esscher transform; Gaussian copula; State price density; Wang transform

Indexed keywords

EID: 33845452296     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.36.1.2014152     Document Type: Article

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