On some claims related to Choquet integral risk measures
DOI10.1007/S10479-011-0848-9zbMATH Open1259.91059OpenAlexW1974817215MaRDI QIDQ1761861FDOQ1761861
Hung T. Nguyen, 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
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option pricing[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]Choquet integralcoherent risk measuresspectral risk measuresmartingale measuresdistortion functionsrisk neutral probabilities
Cites Work
- The pricing of options and corporate liabilities
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- Robust Statistics
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- An Introduction to Random Sets
- A decade of application of the Choquet and Sugeno integrals in multi-criteria decision aid
- Coherent multiperiod risk adjusted values and Bellman's principle
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- A Course in Financial Calculus
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- A Universal Framework for Pricing Financial and Insurance Risks
- Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
- Actuarial bridges to dynamic hedging and option pricing
- Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
- The representation of conditional relative importance between criteria
Cited In (6)
- The distortion principle for insurance pricing: properties, identification and robustness
- Spectral risk measure of holding stocks in the long run
- Option implied ambiguity and its information content: evidence from the subprime crisis
- Title not available (Why is that?)
- 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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