A Universal Framework for Pricing Financial and Insurance Risks

By Shaun S. Wang. ASTIN Bulletin: The Journal of the International Actuarial Association, 2002

244 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d1e8d6a2ba97578b7f11b4f74683fc834342faec

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Citations in the corpus

A Two-Factor Model for Stochastic Mortality With Parameter Uncertainty: Theory and Calibration (2006, unknown): “18 An alternative way of generating risk-adjusted measures is to use the Wang transform (Wang, 2000, 2002, 2003).”
Association and heterogeneity of insured lifetimes in the Lee–Carter framework (2007, methodology): “They were first discussed by Yaari (1987), and applied to actuarial problems in a series of papers by Wang (1996, 2000, 2002).”
Risk measurement with equivalent utility principles (2006, background): “Chateauneuf, Kast & Lapied (1996), Wang (2000, 2002) and Hamada & Sherris (2003) used the same mechanism for pricing in financial markets; see also Pelsser (2004).”
Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* (2006, methodology): “Risk-neutral dynamics Suppose that we have the two stochastic differential equations: dB(t,T,x) = B(t,T,x)V (t,T,x) d W(t) (3.3) and dm(t,T,x +T ) = a(t,T,x +T )dt + b (t,T,x +T ) d W(t) (3.4) where V(t,T,x), a(t,T, x +T) and b(t,T, x +T) are previsible processes.”
Multivariate Tweedie distributions and some related capital-at-risk analyses (2010, unknown): “, n (cf., e.g. Denault, 2001; Panjer, 2002; Wang, 2002).”
Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing (2010, unknown): “Even in an incompletemarket, the non-arbitrage condition ensures the existence of at least one risk-neutral measure, or we can use a distortion operator such as the Wang transform (Wang, 2000, 2002) to create a risk-adjusted measure, under which financial securities can be priced.”
Natural Hedging of Life and Annuity Mortality Risks (2007, unknown): “Wang (1996, 2000, 2001) has developed a method of pricing risks that unifies financial and insurance pricing theories.”
Modeling Mortality With Jumps: Applications to Mortality Securitization (2009, unknown): “Pricing Procedure and Results We use the following procedure to calculate the market prices of risk of the Swiss Re mortality bond (2003) based on the Wang transform.”
Securitization of Catastrophe Mortality Risks (2008, unknown): “The Wang transform is a market-based equilibrium pricing method that unifies the finance and insurance pricing theories (Wang, 2002).”
On the pricing of longevity-linked securities (2010, background): “However, as pointed out by Pelsser (2008), the Wang transform does not provide “a universal framework for pricing financial and insurance risks” (cf. Wang (2002)), so the adequacy is questionable.4 Moreover, it is not clear whether annuity prices offer an adequate starting point when pricing…”