Minimax pricing and Choquet pricing
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- Chen, Zengjing & Kulperger, Reg & Wei, Gang, 2005. "A comonotonic theorem for BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 115(1), pages 41-54, January.
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- Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming, 2019. "Dynamic risk measures for processes via backward stochastic differential equations," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 43-50.
- Emy Lécuyer & Jean-Philippe Lefort, 2021. "Put–call parity and generalized neo-additive pricing rules," Theory and Decision, Springer, vol. 90(3), pages 521-542, May.
- Dejian Tian & Xunlian Wang, 2023. "Dynamic star-shaped risk measures and $g$-expectations," Papers 2305.02481, arXiv.org.
- Ju Hong Kim, 2021. "The relations of Choquet Integral and G-Expectation," Papers 2102.10213, arXiv.org.
- Peng Luo & Alexander Schied & Xiaole Xue, 2024. "The perturbation method applied to a robust optimization problem with constraint," Mathematics and Financial Economics, Springer, volume 18, number 4, March.
- Zengwu Wang, 2010. "Irreversible Investment of the Risk- and Uncertainty-averse DM under k-Ignorance: The Role of BSDE," Annals of Economics and Finance, Society for AEF, vol. 11(2), pages 313-335, November.
- Boonen, Tim J. & Tan, Ken Seng & Zhuang, Sheng Chao, 2016. "The role of a representative reinsurer in optimal reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 196-204.
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