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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.

Pages: 8 pages
Date: 2002-12, Revised 2003-05
New Economics Papers: this item is included in nep-rmg
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http://www.bemservizi.unito.it/repec/icr/wp2003/Maccheroni-Marinacci14-03.pdf (application/pdf)

Related works:
Journal Article: CHOQUET INSURANCE PRICING: A CAVEAT (2004) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpmath:14-2003

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