Determination of Risk Pricing Measures from Market Prices of Risk

Henryk Gzyl () and Silvia Mayoral

No 03/07, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

Abstract: A new insurance provider or a regulatory agency may be interested in determining a risk measure consistent with observed market prices of a collection of risks. Using a relationship between distorted coherent risk measures and spectral risk measures, we provide a method for reconstruction distortion functions from the observed prices of risk. The technique is based on an appropriate application of the method on maximum entropy in the mean.

Pages: 28 pages
Date: 2007-06-01
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Journal Article: Determination of risk pricing measures from market prices of risk (2008)
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