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http://dx.doi.org/10.5391/JKIIS.2006.16.2.247

Some characterizations of interval-valued Choquet price functionals  

Lee, Chae-Jang (Department of Mathematics and Computer Science, Konkuk University)
Publication Information
Journal of the Korean Institute of Intelligent Systems / v.16, no.2, 2006 , pp. 247-251 More about this Journal
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.
Keywords
Choquet integrals; interval-valued functions; insurance price;
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Times Cited By KSCI : 1  (Citation Analysis)
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