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Choquet Insurance Pricing: A Caveat

  • Erio Castagnoli
  • Fabio Maccheroni
  • Massimo Marinacci

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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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.0960-1627.2004.00201.x
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Article provided by Wiley Blackwell in its journal Mathematical Finance.

Volume (Year): 14 (2004)
Issue (Month): 3 ()
Pages: 481-485

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Handle: RePEc:bla:mathfi:v:14:y:2004:i:3:p:481-485
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  1. 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.
  2. Massimo Marinacci, 2000. "A uniqueness theorem for convex-ranged probabilities," Decisions in Economics and Finance, Springer, vol. 23(2), pages 121-132.
  3. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
  4. A. Chateauneuf & R. Kast & A. Lapied, 1996. "Choquet Pricing For Financial Markets With Frictions," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 323-330.
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