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ArticleMinimax pricing and Choquet pricing

Zengjing Chen2006

Article2006

Minimax pricing and Choquet pricing

Zengjing Chen · Reg J. Kulperger

34 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Decision-Making and Behavioral Economics Risk and Portfolio Optimization

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References

1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 2002Ambiguity, Risk, and Asset Returns in Continuous Time 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market 1997Axiomatic characterization of insurance prices 1992A Simple Axiomatization of Nonadditive Expected Utility 2001Testing and Characterizing Properties of Nonadditive Measures Through Violations of the Sure-Thing Principle

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2016The role of a representative reinsurer in optimal reinsurance 2009A generalized Neyman–Pearson lemma for g-probabilities

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Year2006

Typearticle

Published2006-01-24

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations34

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2005.11.010

openalex_workW2005455460

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