On some claims related to Choquet integral risk measures..作者:Nguyen, Hung1 hunguyen@nmsu.edu
Pham, Uyen1 uyenpham@nmsu.edu
Tran, Hien2 tran1hd@cmich.edu.
来源:Annals of Operations Research; May2012, Vol. 195 Issue 1, p5-31, 27p.
文献类型:Article.
作者提供的关键字:Choquet integral
Coherent risk measures
Distortion functions
Lévy processes
Martingale measures
Option pricing
Risk neutral probabilities.
摘要:We examine two important claims by S.S. Wang and J. Treussard concerning the use of distortion functions as a universal tool in pricing financial and insurance risks, and the use of risk neutral probabilities in evaluating risks, respectively. Their claims seem reasonable only in the classical framework of Black-Scholes model, but not convincing in more extended and realistic models such as Lévy processes. [ABSTRACT FROM AUTHOR].
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作者单位:1Department of Mathematical Sciences, New Mexico State University, Las Cruces 88003 USA
2Department of Mathematics, Central Michigan University, Mt. Pleasant 48859 USA.
ISSN:02545330.
DOI:10.1007/s10479-011-0848-9.
入藏编号:73521752.
数据库: Academic Search Premier.