On distribution-free safe layer-additive pricing

DOI10.1016/S0167-6687(98)00015-8zbMath0911.90026MaRDI QIDQ1265936

Werner Hürlimann

Publication date: 5 May 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

stochastic ordersdistorted probabilityChoquet pricingdistribution-free implicit price loading methodHardy-Littlewood pricingKarlsruhe pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24)

Related Items

Distribution-free comparison of pricing principles. ⋮ Choquet pricing and equilibrium. ⋮ Nonmonotonic Choquet integrals ⋮ On Stop-Loss Order and the Distortion Pricing Principle

Cites Work

• Extremal functions and financial gain
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• Best bounds for expected financial payoffs. II: Applications
• Axiomatic characterization of insurance prices
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• Martingales with given maxima and terminal distributions
• A converse to the dominated convergence theorem
• Convex majorization with an application to the length of critical paths
• On the Distribution of Maxima of Martingale
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• Table of the bounds of the probability integral when the first four moments are given
• On conditional stochastic ordering of distributions
• Bounds on a distribution function that are functions of moments to order four
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