Authors

• Henryk Gzyl(henryk.gzyl@iesa.edu.ve)
  Finance Center, IESA
• Silvia Mayoral(smayoral@unav.es)
  University of Navarra

Abstract
A new insurance provider or a regulatory agency may be interested in determining a risk measure consistent with observed market prices of a collection of risks. Using a relationship between distorted coherent risk measures and spectral risk measures, we provide a method for reconstruction distortion functions from the observed prices of risk. The technique is based on an appropriate application of the method on maximum entropy in the mean.

Number of Pages:28

Creation Date:2007-06-01

Number:null/07