Choquet insurance pricing: a caveat

Erio Castagnoli (), Fabio Maccheroni () and Massimo Marinacci

ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research

Abstract: We consider Choquet pricing functionals for insurance and financial markets. We show that when they depend on the distribution of the asset under a given probability measure, they reduce to standard expectations once are available on the market assets without bid-ask spreads.

New Economics Papers: this item is included in nep-rmg
Date: 2002-12, Revised 2003-05
View list of references View citations in EconPapers

Downloads: (external link)
http://www.icer.it/docs/wp2003/Maccheroni-Marinacci14-03.pdf (application/pdf)

Related works:
Journal Article: CHOQUET INSURANCE PRICING: A CAVEAT (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:icr:wpmath:14-2003

Access Statistics for this paper

More papers in ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research
Address: Viale Settimio Severo, 63 - 10133 Torino - Italy
Contact information at EDIRC.
Series data maintained by Alessandra Calosso ().