Title of article
A method for determining risk aversion functions from uncertain market prices of risk
Author/Authors
Gzyl، نويسنده , , Henryk and Mayoral، نويسنده , , Silvia، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
6
From page
84
To page
89
Abstract
In Gzyl and Mayoral (2008) we developed a technique to solve the following type of problems: How to determine a risk aversion function equivalent to pricing a risk with a load, or equivalent to pricing different risks by means of the same risk distortion function. The information on which the procedure is based consists of the market prices of the risk. Here we extend that method to cover the case in which there may be uncertainties in the market prices of the risks.
Keywords
Distortion function , Spectral measures , Risk aversion function , Maximum entropy in the mean , Inverse problems for noisy data
Journal title
Insurance Mathematics and Economics
Serial Year
2010
Journal title
Insurance Mathematics and Economics
Record number
1544020
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