Journal of the Korean Institute of Intelligent Systems (한국지능시스템학회논문지)

Korean Institute of Intelligent Systems (한국지능시스템학회)
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Some characterizations of interval-valued Choquet price functionals

  • Lee, Chae-Jang (Department of Mathematics and Computer Science, Konkuk University)
  • Published : 2006.04.01
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Abstract

In this paper, we define an interval-valued Choquet price functional which is a useful tool as the price of an insurance contract with ambiguity payoffs and investigate some characterizations of them. Moreover, we show that the insurance price with ambiguity payoffs has an interval-valued Choquet integral representation with respect to a capacity.

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