Determination of risk pricing measures from market prices of risk

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 reconstructing distortion functions from the observed prices of risk. The technique is based on an appropriate application of the method of maximum entropy in the mean, which builds upon the classical method of maximum entropy.     

A comparative study of some reconstruction methods for linear inverse problems

In this note, we compare several reconstruction methods to solve a linear ill-conditioned problem, a finite Haussdorf moment problem. The methods are the usual L₂-regularization method, the linear programming method, and two maxentropic reconstruction methods. The scale seems to lean toward the maxentropic reconstructions methods.     

A regularity result for a minimum problem in orlicz-sobolev spaces with applications in the study of the dirichlet problem for the operator of hencky-nadai theory

The existence and uniqueness of the solution to the problem of minimum for functionals generated by N- functions are obtained in Orlicz-Sobolev spaces. Applications for some functionals dealing with Hencky theory are given.