Note: Derived from double-g model prices given by Equation (24), with F = δ i = λ i = 1200.20, t = 1, w = 0.5, σ 1 = 0.179, σ 2 = 0.067, g 1 = 0.465, g 2 = -0.213.

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. Luiz Vitiello is at London Metropolitan Business School, London Metropolitan University. We are grateful to Michael Brennan, Richard Stapleton and Konstantinos Vonatsos for valuable insights. We would like to thank the seminar participants at Singapore Management University for helpful comments.

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThis article studies four transform pricing methods in the context of general equilibrium (GE) framework. The four methods, viz. the Esscher transform, indifference pricing, the Wang transform, and the standard deviation loading, are popular among actuarial literature and practice. The transform pricing methods offer a convenient solution to contingent claim pricing problem with the underlying risk exposure cannot be fully hedged. We show analytically that these four methods are similar and close to the GE approach if the utility has an exponential function, and the underlying distribution is Normal. When the payoff distribution is non-gaussian, prices produced by the four methods vary widely. Moreover, some transform methods may lead to prices that are not coherent, violating one or more of the following properties; additivity, homogeneity, scale invariance and monotonicity. We discuss the implications of our findings on incomplete market pricing. Ruban, O., Vitiello, Luiz and Poon, Ser-Huang (2010 We discuss the implications of our findings on incomplete market pricing. How to quote or cite this document