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
option pricing[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L๏ฟฝ๏ฟฝvy processes]Choquet integralcoherent risk measuresspectral risk measuresmartingale measuresdistortion functionsrisk neutral probabilities
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- The pricing of options and corporate liabilities
- Coherent measures of risk
- Robust Statistics
- 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
- Stochastic Dominance and Applications to Finance, Risk and Economics
- A Course in Financial Calculus
- A Universal Framework for Pricing Financial and Insurance Risks
- Equilibrium Pricing Transforms: New Results Using Buhlmannโs 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
Recommendations
- The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations ๐ ๐
- On the generalized risk measures ๐ ๐
- Coherent conditional measures of risk defined by the Choquet integral with respect to Hausdorff outer measure and stochastic independence in risk management ๐ ๐
- Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals ๐ ๐
- On Choquet Integral Risk Measures ๐ ๐
- Title not available (Why is that?) ๐ ๐
- Title not available (Why is that?) ๐ ๐
- Title not available (Why is that?) ๐ ๐
- Title not available (Why is that?) ๐ ๐
- Title not available (Why is that?) ๐ ๐
This page was built for publication: On some claims related to Choquet integral risk measures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1761861)
