Choquet insurance pricing: a caveat
Erio Castagnoli (),
Fabio Maccheroni and
ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research
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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Journal Article: CHOQUET INSURANCE PRICING: A CAVEAT (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpmath:14-2003
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