A note on the connection between the Esscher-Girsanov transform and the Wang transform

Coenraad C.A. Labuschagne and Theresa M. Offwood

Insurance: Mathematics and Economics, 2010, vol. 47, issue 3, 385-390

Abstract: An elementary proof is presented to show that a connection exists between the Esscher-Girsanov transform and the Wang transform.

Keywords: Choquet; integral; Distortion; function; Esscher-Girsanov; transform; Wang; transform (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:47:y:2010:i:3:p:385-390

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