A method for determining risk aversion functions from uncertain market prices of risk. (English) Zbl 1231.91194
Summary: In [Insur. Math. Econ. 43, No. 3, 437–443 (2008; Zbl 1152.91584)] we developed a technique to solve the following type of problems: How to determine a risk aversion function equivalent to pricing a risk with a load, or equivalent to pricing different risks by means of the same risk distortion function. The information on which the procedure is based consists of the market prices of the risk. Here we extend that method to cover the case in which there may be uncertainties in the market prices of the risks.
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
Keywords:
distortion function; spectral measures; risk aversion function; maximum entropy in the mean; inverse problems for noisy dataCitations:
Zbl 1152.91584References:
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