Minimax pricing and Choquet pricing

Insurance: Mathematics and Economics

Volumn 38, Issue 3, 2006, Pages 518-528

  Chen, Zengjing ^a   Kulperger, Reg ^b  

^a SHANDONG UNIVERSITY   (China)

^b UNIVERSITY OF WESTERN ONTARIO   (Canada)

Author keywords

Backward stochastic differential equation(BSDE); Capacity; Choquet expectation; Minimax expectation

Indexed keywords

EID: 33646532891     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2005.11.010     Document Type: Article

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