CHOQUET INSURANCE PRICING: A CAVEAT

Erio Castagnoli · Fabio Maccheroni · Massimo Marinacci B

41 citations0/0 files storedMathematical Finance

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

Abstract

We show that, if prices in a market are Choquet expectations, the existence of one frictionless asset may force the whole market to be frictionless. Any risky asset will cause this collapse if prices depend only on the distribution with respect to a given nonatomic probability measure; the frictionless asset has to be fully revealing if such dependence is not assumed. Similar considerations apply to law‐invariant coherent risk measures.

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References

1999Coherent Measures of Risk 2002Coherent Risk Measures on General Probability Spaces 1996Premium Calculation by Transforming the Layer Premium Density 2001On law invariant coherent risk measures 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks 1997Axiomatic characterization of insurance prices 1996CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS1

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