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Choquet pricing and equilibrium

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  • De Waegenaere, Anja
  • Kast, Robert
  • Lapied, Andre

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  • De Waegenaere, Anja & Kast, Robert & Lapied, Andre, 2003. "Choquet pricing and equilibrium," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 359-370, July.
    • Handle: RePEc:eee:insuma:v:32:y:2003:i:3:p:359-370
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    References listed on IDEAS

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    1. Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
    2. Gerber, Hans U., 1984. "Equilibria in a proportional reinsurance market," Insurance: Mathematics and Economics, Elsevier, vol. 3(2), pages 97-100, April.
    3. Anja De Waegenaere, 2000. "Arbitrage and Viability in Insurance Markets," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 25(1), pages 81-99, June.
    4. Wang, Shaun, 1996. "Premium Calculation by Transforming the Layer Premium Density," ASTIN Bulletin, Cambridge University Press, vol. 26(1), pages 71-92, May.
    5. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
    6. A. Chateauneuf & R. Kast & A. Lapied, 1996. "Choquet Pricing For Financial Markets With Frictions1," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 323-330, July.
    7. Pressacco, Flavio, 1979. "Value and Prices in a Reinsurance Market," ASTIN Bulletin, Cambridge University Press, vol. 10(3), pages 263-273, December.
    8. 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.
    9. Werner, Jan, 1985. "Equilibrium in economies with incomplete financial markets," Journal of Economic Theory, Elsevier, vol. 36(1), pages 110-119, June.
    10. repec:dau:papers:123456789/5630 is not listed on IDEAS
    11. De Waegenaere, Anja & Wakker, Peter P., 2001. "Nonmonotonic Choquet integrals," Journal of Mathematical Economics, Elsevier, vol. 36(1), pages 45-60, September.
    12. Ross, Stephen A, 1978. "A Simple Approach to the Valuation of Risky Streams," The Journal of Business, University of Chicago Press, vol. 51(3), pages 453-475, July.
    13. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    14. De Waegenaere, Anja, 1994. "Equilibria in a mixed financial-reinsurance market with constrained trading possibilities," Insurance: Mathematics and Economics, Elsevier, vol. 15(1), pages 65-65, October.
    15. Aase, Knut K., 1993. "Equilibrium in a Reinsurance Syndicate; Existence, Uniqueness and Characterization," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 185-211, November.
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    Cited by:

    1. Belles-Sampera, Jaume & Merigó, José M. & Guillén, Montserrat & Santolino, Miguel, 2013. "The connection between distortion risk measures and ordered weighted averaging operators," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 411-420.
    2. Andreas Tsanakas & Evangelia Desli, 2005. "Measurement and Pricing of Risk in Insurance Markets," Risk Analysis, John Wiley & Sons, vol. 25(6), pages 1653-1668, December.
    3. Robert Kast & André Lapied, 2010. "Dynamically consistent Choquet random walk and real investments," Working Papers halshs-00533826, HAL.
    4. Robert Kast & André Lapied, 2007. "Dynamically Consistent Conditional Choquet Capacities," ICER Working Papers - Applied Mathematics Series 20-2007, ICER - International Centre for Economic Research.
    5. Tarik Driouchi & Lenos Trigeorgis & Raymond H. Y. So, 2018. "Option implied ambiguity and its information content: Evidence from the subprime crisis," Annals of Operations Research, Springer, vol. 262(2), pages 463-491, March.
    6. 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.
    7. Yaarit Even & Ehud Lehrer, 2014. "Decomposition-integral: unifying Choquet and the concave integrals," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(1), pages 33-58, May.
    8. Laeven, Roger J. A. & Goovaerts, Marc J., 2004. "An optimization approach to the dynamic allocation of economic capital," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 299-319, October.
    9. Chen, Zengjing & Kulperger, Reg, 2006. "Minimax pricing and Choquet pricing," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 518-528, June.
    10. Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006. "Risk measurement with equivalent utility principles," Statistics & Risk Modeling, De Gruyter, vol. 24(1), pages 1-25, July.
    11. André Lapied & Robert Kast, 2005. "Updating Choquet valuation and discounting information arrivals," Working Papers 05-09, LAMETA, Universtiy of Montpellier, revised Jan 2005.
    12. John A. Major & Stephen J. Mildenhall, 2020. "Pricing and Capital Allocation for Multiline Insurance Firms With Finite Assets in an Imperfect Market," Papers 2008.12427, arXiv.org.
    13. 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.
    14. André Lapied & Robert Kast, 2010. "Dynamically consistent Choquet random walk and real investments," Working Papers 10-21, LAMETA, Universtiy of Montpellier, revised 2010.
    15. Wu, Xianyi & Zhou, Xian, 2006. "A new characterization of distortion premiums via countable additivity for comonotonic risks," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 324-334, April.
    16. Driouchi, Tarik & Trigeorgis, Lenos & So, Raymond H.Y., 2020. "Individual antecedents of real options appraisal: The role of national culture and ambiguity," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1018-1032.

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