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Minimax pricing and Choquet pricing
14 references·2 citing·50 second hop
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this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 1997Axiomatic characterization of insurance prices535 cited
  • 1992A Simple Axiomatization of Nonadditive Expected Utility227 cited
  • 2001Testing and Characterizing Properties of Nonadditive Measures Through Violations of the Sure-Thing Principle182 cited
  • 2001Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance169 cited
  • 1999Optimal insurance under Wang’s premium principle156 cited
  • 1998Comonotonicity, correlation order and premium principles153 cited
  • 2001Nonmonotonic Choquet integrals82 cited
  • 2005Choquet expectation and Peng’s g-expectation64 cited
  • 2002BSDE associated with Lévy processes and application to PDIE59 cited

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  • 2016The role of a representative reinsurer in optimal reinsurance

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35 cited
  • 2009A generalized Neyman–Pearson lemma for g-probabilities28 cited