EconPapers    
Economics at your fingertips  
 

CHOQUET INSURANCE PRICING: A CAVEAT

Erio Castagnoli, Fabio Maccheroni and Massimo Marinacci

Mathematical Finance, 2004, vol. 14, issue 3, 481-485

Abstract: We show that, if prices in a market are Choquet expectations, the existence of one frictionless asset may force the whole market to be frictionless. Any risky asset will cause this collapse if prices depend only on the distribution with respect to a given nonatomic probability measure; the frictionless asset has to be fully revealing if such dependence is not assumed. Similar considerations apply to law‐invariant coherent risk measures.

Date: 2004
References: View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/j.0960-1627.2004.00201.x

Related works:
Working Paper: Choquet insurance pricing: a caveat (2003) Downloads
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: https://EconPapers.repec.org/RePEc:bla:mathfi:v:14:y:2004:i:3:p:481-485

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0960-1627

Access Statistics for this article

Mathematical Finance is currently edited by Jerome Detemple

More articles in Mathematical Finance from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2022-08-06
Handle: RePEc:bla:mathfi:v:14:y:2004:i:3:p:481-485