Vigilant measures of risk and the demand for contingent claims

DOI10.1016/j.insmatheco.2014.11.009zbMath1403.91195OpenAlexW3121293221WikidataQ114395257 ScholiaQ114395257MaRDI QIDQ2347093

Mario Ghossoub

Publication date: 26 May 2015

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

Full work available at URL: http://hdl.handle.net/10419/97248

zbMATH Keywords

Choquet integralutility maximizationmonotone likelihood ratiodistorted probabilitiesoptimal insurance design

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items

Arrow's Theorem of the Deductible with Heterogeneous Beliefs ⋮ Equimeasurable Rearrangements with Capacities ⋮ Ambiguity on the insurer's side: the demand for insurance ⋮ Cost-efficient contingent claims with market frictions

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