On some claims related to Choquet integral risk measures
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Cites work
- scientific article; zbMATH DE number 1466110 (Why is no real title available?)
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- A Course in Financial Calculus
- A Universal Framework for Pricing Financial and Insurance Risks
- A decade of application of the Choquet and Sugeno integrals in multi-criteria decision aid
- Actuarial bridges to dynamic hedging and option pricing
- An Introduction to Random Sets
- Coherent measures of risk
- Coherent multiperiod risk adjusted values and Bellman's principle
- Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
- Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
- Robust Statistics
- Stochastic Dominance and Applications to Finance, Risk and Economics
- The pricing of options and corporate liabilities
- The representation of conditional relative importance between criteria
Cited in
(7)- The distortion principle for insurance pricing: properties, identification and robustness
- On the Applicability of the Wang Transform for Pricing Financial Risks
- Spectral risk measure of holding stocks in the long run
- Option implied ambiguity and its information content: evidence from the subprime crisis
- scientific article; zbMATH DE number 7033720 (Why is no real title available?)
- 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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