On the Distribution of Cash-Flows Using Esscher Transforms
15 Pages Posted: 2 Mar 2006
Abstract
In their seminal paper, Gerber and Shiu (1994) introduced the concept of the Esscher transform for option pricing. As examples they considered the shifted Poisson process, the random walk, a shifted gamma process and a shifted inverse Gaussian process to describe the logarithm of the stock price.In the present paper it is shown how upper and lower bounds in convex order can be obtained when we use these types of models to describe the stochastic accumulation factors for a given cash-flow.
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
The Concept of Comonotonicity in Actuarial Science and Finance: Applications
By Jan Dhaene, Michel Denuit, ...
-
The Concept of Comonotonicity in Actuarial Science and Finance: Theory
By Jan Dhaene, Michel Denuit, ...
-
Comonotonicity and Maximal Stop-Loss Premiums
By Jan Dhaene, Shaun Wang, ...
-
Economic Capital Allocation Derived from Risk Measures
By Jan Dhaene, Marc Goovaerts, ...
-
Risk Measures and Comonotonicity: A Review
By Jan Dhaene, Steven Vanduffel, ...
-
Upper and Lower Bounds for Sums of Random Variables.
By Rob Kaas, Jan Dhaene, ...
-
Convex Upper and Lower Bounds for Present Value Functions
By David Vyncke, Marc Goovaerts, ...
-
Stochastic Upper Bounds for Present Value Functions
By Marc Goovaerts, Jan Dhaene, ...
-
Risk Measures and Theories of Choice
By Andreas Tsanakas and Evangelia Desli
-
A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
By Rob Kaas, Jan Dhaene, ...