Actuarial risk measures for financial derivative pricing

Actuarial Risk Measures for Financial Derivative Pricing

We present an axiomatic characterization of price measures that are superadditive and comonotonic additive for normally distributed random variables. The price representation derived, involves a probability measure transform that is closely related to the Esscher transform, and we call it the Esscher-Girsanov transform. In a financial market in which the primary asset price is represented by a ...

Restricted Coherent Risk Measures and Actuarial Solvency

Theory of Financial Risk and Derivative Pricing From Statistical Physics to Risk Management second edition

This book is in copyright. Subject to statutory exception and to the provisions of relevant collective licensing agreements, no reproduction of any part may take place without the written permission of Cambridge University Press. A catalogue record for this book is available from the British Library Library of Congress Cataloguing in Publication data Bouchaud, Jean-Philippe, 1962– Theory of fin...

Actuarial Approach to Option Pricing

Over sixty years ago, the Swedish actuary F. Esscher suggested that the Edgeworth approximation (a refinement of the normal approximation) yields better results, if it is applied to a modification of the original distribution of aggregate claims. In this paper, this Esscher transform is defined more generally as a change of measure for a certain class of stochastic processes that model stock pr...

Actuarial Applications of Financial Models

In the present contribution we indicate the type of situations, seen from an insurance point of view, in which nancial models serve as a basis for providing solutions to practical problems. In addition, some of the essential diierences in the basic assumptions underlying nancial models and actuarial applications are given.