Minimax pricing and Choquet pricing

DOI10.1016/j.insmatheco.2005.11.010zbMath1168.60355OpenAlexW2005455460MaRDI QIDQ2499830

Reg J. Kulperger, Zeng-Jing Chen

Publication date: 14 August 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.11.010

zbMATH Keywords

capacitybackward stochastic differential equation (BSDE)minimax expectationChoquet-expectation

Mathematics Subject Classification ID

Related Items (21)

The Choquet integral of log-convex functions ⋮ Put-call parity and generalized neo-additive pricing rules ⋮ Conditional Choquet Expectation ⋮ A strong law of large number for negatively dependent and non identical distributed random variables in the framework of sublinear expectation ⋮ Convexity and sublinearity of \(g\)-expectations ⋮ Jensen's inequality for generalized Peng's \(g\)-expectations and its applications ⋮ Strong solution of Itô type set-valued stochastic differential equation ⋮ Some properties and convergence theorems of set-valued Choquet integrals ⋮ Dynamic risk measures for processes via backward stochastic differential equations ⋮ A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications ⋮ Complete moment convergence and \(L_q\) convergence for AANA random variables under sub-linear expectations ⋮ Fubini theorem for non additive measures in the framework of g-expectation ⋮ Strong laws of large numbers for negatively dependent random variables under sublinear expectations ⋮ The Neyman-Pearson lemma under \(g\)-probability ⋮ On Hoeffding and Bernstein type inequalities for sums of random variables in non-additive measure spaces and complete convergence ⋮ On the integral representation of \(g\)-expectations ⋮ A generalized Neyman-Pearson Lemma for \(g\)-probabilities ⋮ Probability inequalities for decomposition integrals ⋮ The role of a representative reinsurer in optimal reinsurance ⋮ Extension of the strong law of large numbers for capacities ⋮ Sub-concave and sub-convex capacities

Cites Work

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• Minimax tests and the Neyman-Pearson lemma for capacities
• Theory of capacities
• A Simple Axiomatization of Nonadditive Expected Utility
• Backward Stochastic Differential Equations in Finance
• Testing and Characterizing Properties of Nonadditive Measures Through Violations of the Sure-Thing Principle
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
• Nonmonotonic Choquet integrals

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