Robust LMI Stability of a Premium Pricing Model into a Discrete-Time Stochastic Framework

Author(s):  
Athanasios A. Pantelous ◽  
Lin Yang
1989 ◽  
Vol 13 (3) ◽  
pp. 421-442 ◽  
Author(s):  
Kevin J. Maloney ◽  
Mark J. Byrne

2014 ◽  
Vol 2014 ◽  
pp. 1-14 ◽  
Author(s):  
Minsuk Kwak ◽  
Traian A. Pirvu ◽  
Huayue Zhang

We propose an equilibrium pricing model in a dynamic multiperiod stochastic framework with uncertain income. There are one tradable risky asset (stock/commodity), one nontradable underlying (temperature), and also a contingent claim (weather derivative) written on the tradable risky asset and the nontradable underlying in the market. The price of the contingent claim is priced in equilibrium by optimal strategies of representative agent and market clearing condition. The risk preferences are of exponential type with a stochastic coefficient of risk aversion. Both subgame perfect strategy and naive strategy are considered and the corresponding equilibrium prices are derived. From the numerical result we examine how the equilibrium prices vary in response to changes in model parameters and highlight the importance of our equilibrium pricing principle.


Sign in / Sign up

Export Citation Format

Share Document