Buhlmann’s Economic Premium Principle in The Presence of Transaction Costs

Autor:	Masaaki Kijima, Akihisa Tamura
Rok vydání:	2014
Předmět:	Equilibrium pricing Equilibrium allocation Incomplete market Esscher transform Transaction cost
Popis:	This paper examines the B¨uhlmann’s equilibrium pricing model (1980) in the presence of transaction cost and derives the (multivariate) Esscher transform within the framework under some assumptions. The result reveals that the Esscher transform is an appropriate probability transform for the pricing of insurance risks even in the market with transaction costs.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od_______645::6f85247d33565388af2594271fba451e http://www.kier.kyoto-u.ac.jp/DP/DP893.pdf Zobrazit plný text záznamu