On some claims related to Choquet integral risk measures

DOI10.1007/s10479-011-0848-9zbMath1259.91059MaRDI QIDQ1761861

Nguyen Trung Hung, 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

zbMATH Keywords

Lévy processes; option pricing; Choquet integral; coherent risk measures; spectral risk measures; martingale measures; distortion functions; risk neutral probabilities

Mathematics Subject Classification ID

28E10: Fuzzy measure theory

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