On some claims related to Choquet integral risk measures

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

zbMATH Keywords

Lévy processesoption pricingChoquet integralcoherent risk measuresspectral risk measuresmartingale measuresdistortion functionsrisk neutral probabilities

Mathematics Subject Classification ID

Related Items (5)

Option implied ambiguity and its information content: evidence from the subprime crisis ⋮ The distortion principle for insurance pricing: properties, identification and robustness ⋮ Spectral risk measure of holding stocks in the long run ⋮ The riskiness of stock versus money market investment with stochastic rates ⋮ Nonparametric estimation of a scalar diffusion model from discrete time data: a survey

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• A decade of application of the Choquet and Sugeno integrals in multi-criteria decision aid
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