On some claims related to Choquet integral risk measures

Hung Nguyen (), Uyen Pham () and Hien Tran ()

Annals of Operations Research, 2012, vol. 195, issue 1, 5-31

Abstract: We examine two important claims by S.S. Wang and J. Treussard concerning the use of distortion functions as a universal tool in pricing financial and insurance risks, and the use of risk neutral probabilities in evaluating risks, respectively. Their claims seem reasonable only in the classical framework of Black–Scholes model, but not convincing in more extended and realistic models such as Lévy processes. Copyright Springer Science+Business Media, LLC 2012

Keywords: Choquet integral; Coherent risk measures; Distortion functions; Lévy processes; Martingale measures; Option pricing; Risk neutral probabilities; Spectral risk measures (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10479-011-0848-9

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