Families of update rules for non-additive measures: applications in pricing risks.

DOI10.1016/S0167-6687(98)00017-1zbMath1115.91346WikidataQ126819287 ScholiaQ126819287MaRDI QIDQ1276454

Virginia R. Young

Publication date: 27 January 1999

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

Mathematics Subject Classification ID

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

Related Items (6)

Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures ⋮ Dynamically consistent CEU preferences on \(f\)-convex events ⋮ Risk capital allocation and cooperative pricing of insurance liabilities. ⋮ Subjective risk measures: Bayesian predictive scenarios analysis ⋮ Dynamic capital allocation with distortion risk measures ⋮ An optimization approach to the dynamic allocation of economic capital

Cites Work

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• Prior envelopes based on belief functions
• Updating non-additive measures with fuzzy information
• Non-additive measure and integral
• Conditioning (updating) non-additive measures
• Axiomatic characterization of insurance prices
• Updating ambiguous beliefs
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Robust Bayesian Credibility Using Semiparametric Models
• Subjective Probability and Expected Utility without Additivity
• Bayesian updating and belief functions
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• The Dual Theory of Choice under Risk

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