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| タイトル: | Bühlmann’s Economic Premium Principle in The Presence of Transaction Costs |
| 著者: | Kijima, Masaaki Tamura, Akihisa |
| キーワード: | Equilibrium pricing Equilibrium allocation Incomplete market Esscher transform Transaction cost |
| 発行日: | Apr-2014 |
| 出版者: | Institute of Economic Research, Kyoto University |
| 誌名: | KIER Discussion Paper |
| 巻: | 893 |
| 抄録: | This paper examines the B¨uhlmann’s equilibrium pricing model (1980) in the presence of transaction cost and derives the (multivariate) Esscher transform within the framework under some assumptions. The result reveals that the Esscher transform is an appropriate probability transform for the pricing of insurance risks even in the market with transaction costs. |
| URI: | http://hdl.handle.net/2433/185180 |
| 出現コレクション: | KIER Discussion Paper (英文版) |
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