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Distortion Measures and Homogeneous Financial Derivatives - Simulation Code

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posted on 19.07.2019, 08:37 by John Major
Simulation code to accompany: John A. Major, Distortion measures and homogeneous financial derivatives, Insurance: Mathematics and Economics, Available online 15 December 2017, ISSN 0167-6687, https://doi.org/10.1016/j.insmatheco.2017.12.006. (https://www.sciencedirect.com/science/article/pii/S0167668717303384) Keywords: Distortion measures; Financial derivatives; Capital allocation; Aumann-Shapley; Reinsurance
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