Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model*

Shaun S. Wang

ASTIN Bulletin, 2003, vol. 33, issue 1, 57-73

Abstract: In this paper we revisit an economic model of Buhlmann (ASTIN Bulletin, 1980) and derive equilibrium pricing transforms. We obtain the Esscher Transform and the Wang Transform under different sets of assumptions on the aggregate economic environment. We show that the Esscher Transform and the Wang Transform exhibit very different behaviors when used in pricing insurance risks.

Date: 2003
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