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Article: Bayesian risk measures for derivatives via random Esscher transform

TitleBayesian risk measures for derivatives via random Esscher transform
Authors
Issue Date2001
PublisherSociety of Actuaries. The Journal's web site is located at http://www.soa.org/ccm/content/?categoryID=767033
Citation
North American Actuarial Journal, 2001, v. 5 n. 3, p. 78-91 How to Cite?
AbstractThis paper proposes a model for measuring risks for derivatives that is easy to implement and satisfies a set of four coherent properties introduced in Artzner et al. (1999). We construct our model within the context of Gerber-Shiu’s option-pricing framework. A new concept, namely Bayesian Esscher scenarios, which extends the concept of generalized scenarios, is introduced via a random Esscher transform. Our risk measure involves the use of the risk-neutral Bayesian Esscher scenario for pricing and a family of real-world Bayesian Esscher scenarios for risk measurement. Closed-form expressions for our risk measure can be obtained in some special cases.
Persistent Identifierhttp://hdl.handle.net/10722/83040
ISSN
2015 SCImago Journal Rankings: 1.505

 

DC FieldValueLanguage
dc.contributor.authorSiu, TK-
dc.contributor.authorTong, H-
dc.contributor.authorYang, H-
dc.date.accessioned2010-09-06T08:36:14Z-
dc.date.available2010-09-06T08:36:14Z-
dc.date.issued2001-
dc.identifier.citationNorth American Actuarial Journal, 2001, v. 5 n. 3, p. 78-91-
dc.identifier.issn1092-0277-
dc.identifier.urihttp://hdl.handle.net/10722/83040-
dc.description.abstractThis paper proposes a model for measuring risks for derivatives that is easy to implement and satisfies a set of four coherent properties introduced in Artzner et al. (1999). We construct our model within the context of Gerber-Shiu’s option-pricing framework. A new concept, namely Bayesian Esscher scenarios, which extends the concept of generalized scenarios, is introduced via a random Esscher transform. Our risk measure involves the use of the risk-neutral Bayesian Esscher scenario for pricing and a family of real-world Bayesian Esscher scenarios for risk measurement. Closed-form expressions for our risk measure can be obtained in some special cases.-
dc.languageeng-
dc.publisherSociety of Actuaries. The Journal's web site is located at http://www.soa.org/ccm/content/?categoryID=767033-
dc.relation.ispartofNorth American Actuarial Journal-
dc.titleBayesian risk measures for derivatives via random Esscher transform-
dc.typeArticle-
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1092-0277&volume=5&issue=3&spage=78&epage=91&date=2001&atitle=Bayesian+risk+measures+for+derivatives+via+random+Esscher+transformen_HK
dc.identifier.emailTong, H: howell.tong@gmail.com-
dc.identifier.emailYang, H: hlyang@hkusua.hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.identifier.doi10.1080/10920277.2001.10596000-
dc.identifier.hkuros65330-
dc.identifier.volume5-
dc.identifier.issue3-
dc.identifier.spage78-
dc.identifier.epage91-
dc.publisher.placeSchaumbury, United States-

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