CHOQUET INSURANCE PRICING: A CAVEAT

DOI10.1111/J.0960-1627.2004.00201.XzbMath1134.91400OpenAlexW2247292170MaRDI QIDQ4673854

Massimo Marinacci, Erio Castagnoli, Fabio Maccheroni

Publication date: 9 May 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00201.x

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Related Items (12)

Put-call parity and generalized neo-additive pricing rules ⋮ Pareto efficient buy and hold investment strategies under order book linked constraints ⋮ Law-invariant functionals that collapse to the mean: beyond convexity ⋮ Similar risks have similar prices: a useful and exact quantification ⋮ Financial market structures revealed by pricing rules: efficient complete markets are prevalent ⋮ An axiomatic approach to default risk and model uncertainty in rating systems ⋮ Optimal stopping under probability distortion ⋮ Representation of maxitive measures: An overview ⋮ Preferences representable by a lower expectation: Some characterizations ⋮ Pricing rules and Arrow-Debreu ambiguous valuation ⋮ Law-invariant functionals that collapse to the mean ⋮ Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions

Cites Work

• Axiomatic characterization of insurance prices
• Theory of capacities
• Coherent Measures of Risk
• A uniqueness theorem for convex-ranged probabilities

This page was built for publication: CHOQUET INSURANCE PRICING: A CAVEAT