• 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
  • Pages
    6
  • From page
    385
  • To page
    390
  • 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
  • Serial Year
    2010
  • Journal title
    Insurance Mathematics and Economics
  • Record number

    1544085

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1544085