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On some claims related to Choquet integral risk measures

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  • Hung Nguyen
  • Uyen Pham
  • Hien Tran

Abstract

We examine two important claims by S.S. Wang and J. Treussard concerning the use of distortion functions as a universal tool in pricing financial and insurance risks, and the use of risk neutral probabilities in evaluating risks, respectively. Their claims seem reasonable only in the classical framework of Black–Scholes model, but not convincing in more extended and realistic models such as Lévy processes. Copyright Springer Science+Business Media, LLC 2012

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  • Hung Nguyen & Uyen Pham & Hien Tran, 2012. "On some claims related to Choquet integral risk measures," Annals of Operations Research, Springer, vol. 195(1), pages 5-31, May.
    • Handle: RePEc:spr:annopr:v:195:y:2012:i:1:p:5-31:10.1007/s10479-011-0848-9
    DOI: 10.1007/s10479-011-0848-9
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    References listed on IDEAS

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    Cited by:

    1. Zsolt Bihary & Péter Csóka & Dávid Zoltán Szabó, 2020. "Spectral risk measure of holding stocks in the long run," Annals of Operations Research, Springer, vol. 295(1), pages 75-89, December.
    2. Csóka, Péter & Bihary, Zsolt & Kondor, Gábor, 2018. "A részvénytartás spektrális kockázata hosszú távon [On the spectral measure of risk in holding stocks in the long run]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 687-700.
    3. Christian Gourieroux & Hung T. Nguyen & Songsak Sriboonchitta, 2017. "Nonparametric estimation of a scalar diffusion model from discrete time data: a survey," Annals of Operations Research, Springer, vol. 256(2), pages 203-219, September.
    4. Dávid Zoltán Szabó & Zsolt Bihary, 2023. "The riskiness of stock versus money market investment with stochastic rates," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(2), pages 393-415, June.
    5. Tarik Driouchi & Lenos Trigeorgis & Raymond H. Y. So, 2018. "Option implied ambiguity and its information content: Evidence from the subprime crisis," Annals of Operations Research, Springer, vol. 262(2), pages 463-491, March.
    6. Debora Daniela Escobar & Georg Ch. Pflug, 2020. "The distortion principle for insurance pricing: properties, identification and robustness," Annals of Operations Research, Springer, vol. 292(2), pages 771-794, September.
    7. Daniela Escobar & Georg Pflug, 2018. "The distortion principle for insurance pricing: properties, identification and robustness," Papers 1809.06592, arXiv.org.

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