Title of article :
A note on the connection between the Esscher–Girsanov transform and the Wang transform
Author/Authors :
Labuschagne، نويسنده , , Coenraad C.A. and Offwood، نويسنده , , Theresa M.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2010
Abstract :
An elementary proof is presented to show that a connection exists between the Esscher–Girsanov transform and the Wang transform.
Keywords :
Wang transform , Choquet integral , Distortion function , Esscher–Girsanov transform
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics
