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Choquet insurance pricing: a caveat

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Author Info
Erio Castagnoli ()
Fabio Maccheroni ()
Massimo Marinacci ()

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Abstract

We consider Choquet pricing functionals for insurance and financial markets. We show that when they depend on the distribution of the asset under a given probability measure, they reduce to standard expectations once are available on the market assets without bid-ask spreads.

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Paper provided by ICER - International Centre for Economic Research in its series ICER Working Papers - Applied Mathematics Series with number 14-2003.

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Length: 8 pages
Date of creation: Dec 2002
Date of revision: May 2003
Handle: RePEc:icr:wpmath:14-2003

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Chateauneuf, A. & Kast, R. & Lapied, A., 1992. "Choquet Pricing for Financial Markets with Frictions," G.R.E.Q.A.M. 92a11, Universite Aix-Marseille III.
  2. Massimo Marinacci, 2000. "A uniqueness theorem for convex-ranged probabilities," Decisions in Economics and Finance, Springer, vol. 23(2), pages 121-132. [Downloadable!] (restricted)
  3. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

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