Resumen de Determination of Risk Pricing Measures from Market Prices of Risk

Henryk Gzyl, Silvia Mayoral Blaya

• 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.