An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk

Insurance: Mathematics and Economics

Volumn 42, Issue 3, 2008, Pages 887-896

  Kijima, Masaaki ^a,b   Muromachi, Yukio ^c  

^a TOKYO METROPOLITAN UNIVERSITY   (Japan)

^b KYOTO UNIVERSITY   (Japan)

^c NLI Research Institute   (Japan)

Author keywords

B hlmann's equilibrium price; Gaussian copula; non central t distribution; Wang transform

Indexed keywords

EID: 43849084694     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2007.10.010     Document Type: Article

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