Choquet insurance pricing: a caveat.
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.
Year of publication: |
2002-12
|
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Authors: | Castagnoli, Erio ; Maccheroni, Fabio ; Marinacci, Massimo |
Institutions: | International Centre for Economic Research (ICER) |
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