Choquet pricing and equilibrium.
From MaRDI portal
Publication:1413404
DOI10.1016/S0167-6687(03)00116-1zbMath1055.91045OpenAlexW2003976177MaRDI QIDQ1413404
André Lapied, Robert Kast, Anja De Waegenaere
Publication date: 16 November 2003
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(03)00116-1
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (11)
Option implied ambiguity and its information content: evidence from the subprime crisis ⋮ Put-call parity and generalized neo-additive pricing rules ⋮ PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS ⋮ Individual antecedents of real options appraisal: the role of national culture and ambiguity ⋮ The connection between distortion risk measures and ordered weighted averaging operators ⋮ Decomposition-integral: unifying Choquet and the concave integrals ⋮ An optimization approach to the dynamic allocation of economic capital ⋮ A new characterization of distortion premiums via countable additivity for comonotonic risks ⋮ Minimax pricing and Choquet pricing ⋮ Choquet-based European option pricing with stochastic (and fixed) strikes ⋮ The role of a representative reinsurer in optimal reinsurance
Cites Work
- Equilibria in a proportional reinsurance market
- Equilibrium in economies with incomplete financial markets
- Martingales and arbitrage in multiperiod securities markets
- Ordering risks: expected utility theory versus Yaari's dual theory of risk
- On distribution-free safe layer-additive pricing
- Comonotonicity, correlation order and premium principles
- Equilibria in a mixed financial-reinsurance market with constrained trading possibilities
- Axiomatic characterization of insurance prices
- Martingales and arbitage in securities markets with transaction costs
- Optimal insurance under Wang's premium principle.
- Integral Representation Without Additivity
- CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
- Equilibrium in a Reinsurance Market
- Nonmonotonic Choquet integrals
This page was built for publication: Choquet pricing and equilibrium.
