On some claims related to Choquet integral risk measures

被引：0
作者：
Hung T. Nguyen
Uyen H. Pham
Hien D. Tran
机构：
[1] New Mexico State University,Department of Mathematical Sciences
[2] Central Michigan University,Department of Mathematics
来源：
Annals of Operations Research | 2012年 / 195卷
关键词：
Choquet integral; Coherent risk measures; Distortion functions; Lévy processes; Martingale measures; Option pricing; Risk neutral probabilities; Spectral risk measures;
D O I：
暂无
中图分类号：
学科分类号：
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.
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页码：5 / 31
页数：26
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