Subjective risk measures: Bayesian predictive scenarios analysis
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References listed on IDEAS
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- A. Chateauneuf & R. Kast & A. Lapied, 1996.
"Choquet Pricing For Financial Markets With Frictions,"
Wiley Blackwell, vol. 6(3), pages 323-330.
- 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.
- Ioannis Karatzas & Jaksa Cvitanic, 1999. "On dynamic measures of risk," Finance and Stochastics, Springer, vol. 3(4), pages 451-482.
- Young, Virginia R., 1998. "Families of update rules for non-additive measures: Applications in pricing risks," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 1-14, October.
- Föllmer, Hans & Leukert, Peter, 1998. "Quantile hedging," SFB 373 Discussion Papers 1998,13, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- 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.
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