On some claims related to Choquet integral risk measures (Q1761861)
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scientific article; zbMATH DE number 6107383
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| English | On some claims related to Choquet integral risk measures |
scientific article; zbMATH DE number 6107383 |
Statements
On some claims related to Choquet integral risk measures (English)
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15 November 2012
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Choquet integral
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coherent risk measures
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distortion functions
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Lévy processes
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martingale measures
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option pricing
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risk neutral probabilities
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spectral risk measures
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0.8977986
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0.8897814
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0.8814958
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