1. Hedge Fund Risk Premium Calculation by Wang Transform International AFIR Colloquium 2003 YAMASHITA, Miwaka, CFA Tokio Marine Financial Solutions Ltd.

2. Contents Pricing the Hedge Fund Performance Derivatives The Idea for the Pricing –Idea –Review of Wang Transform Actual Examples Fat Tail Issues –Extreme Value Indicator

3. Pricing the Hedge Fund Performance Derivatives Risk Premium Calculation Principle  kC  C : premium  : average of losses  : standard deviation of losses k : multiplier.

4. Pricing the Hedge Fund Performance Derivatives No Arbitrage Free Condition No Equilibrium Pricing Method No Clear Risk Measure

5. The Idea for the Pricing Idea; Use Wang Transform

6. The Idea for the Pricing Review of Wang Transform –Capital Market Line –Black-Scholes Option Pricing Model –Esscher Transform –Coherent Risk Measure –VaR, Tail VaR

7. The Idea for the Pricing Other Discussion

8. Actual Example Risk Premium Adjusted Price

10. Actual Example Fat Tail Issues

11. Remarks Risk Management and Risk Pricing Loss Probability No Risk Measure, No Equilibrium Pricing