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CHOQUET INSURANCE PRICING: A CAVEAT
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CHOQUET INSURANCE PRICING: A CAVEAT (2004)CHOQUET INSURANCE PRICING: A CAVEATCoherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…On law invariant coherent risk measures (2001)On law invariant coherent ris…A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)A Class of Distortion Operato…Coherent Measures of Risk (1999)Coherent Measures of RiskAxiomatic characterization of insurance prices (1997)Axiomatic characterization of…Premium Calculation by Transforming the Layer Premium Density (1996)Premium Calculation by Transf…CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS1 (1996)CHOQUET PRICING FOR FINANCIAL…Pricing rules and Arrow–Debreu ambiguous valuation (2011)Pricing rules and Arrow–Debre…A multivariate jump-driven financial asset model (2006)A multivariate jump-driven fi…Abstracts and Reviews (2005)Abstracts and ReviewsA Note on Stochastic Survival Probabilities and Their Calibration (2005)A Note on Stochastic Survival…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Multivariate downside risk: Normal versus Variance Gamma (2011)Cores of convex games (1971)Modelling Extremal Events (1997)Putting order in risk measures (2002)Generalized deviations in risk analysis (2005)An Intertemporal Capital Asset Pricing Model (1973)The valuation of options for alternative stochastic processes (1976)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Risk measures and comonotonicity (2006)Constructing Uncertainty Sets for Robust Linear Optimization (2009)The Dual Theory of Choice under Risk (1987)Subjective Probability and Expected Utility without Additivity (1989)An optimization approach to the dynamic allocation of economic capital (2004)Dynamic Capital Allocation With Distortion Risk Measures (2004)Subjective probability and expected utility without additivity (2004)Risk measurement with equivalent utility principles (2006)Theory of Games and Economic Behavior (1945)A solution approach to valuation with unhedgeable risks (2001)Measures of risk (2002)Dynamic coherent risk measures (2004)Theory of games and economic behavior (2019)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)A theory of anticipated utility (1982)Stochastic Processes for Insurance and Finance (1999)An equilibrium characterization of the term structure (1977)Dynamic Asset Pricing Theory. (1993)Existence of an Equilibrium for a Competitive Economy (1954)Maxmin expected utility with non-unique prior (1989)Choquet-based European option pricing with stochastic (and fixed) strikes (2014)Expected shortfall and beyond (2002)Higher order elicitability and Osband’s principle (2016)Frameworks and Results in Distributionally Robust Optimization (2022)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 1996Premium Calculation by Transforming the Layer Premium Density696 cited
  • 2001On law invariant coherent risk measures676 cited
  • 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 cited
  • 1997Axiomatic characterization of insurance prices535 cited
  • 1996CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS1100 cited

Cited by

  • 2006A multivariate jump-driven financial asset model34 cited
  • 2011Pricing rules and Arrow–Debreu ambiguous valuation30 cited
  • 2005Abstracts and Reviews13 cited
  • 2005A Note on Stochastic Survival Probabilities and Their Calibration11 cited

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