On some claims related to Choquet integral risk measures
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Publication:1761861
DOI10.1007/s10479-011-0848-9zbMath1259.91059OpenAlexW1974817215MaRDI QIDQ1761861
Nguyen Trung Hung, Uyen Hoang Pham, Hien Duy Tran
Publication date: 15 November 2012
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-011-0848-9
Lévy processesoption pricingChoquet integralcoherent risk measuresspectral risk measuresmartingale measuresdistortion functionsrisk neutral probabilities
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