Castagnoli, Erio; Maccheroni, Fabio; Marinacci, Massimo Choquet insurance pricing: a caveat. (English) Zbl 1134.91400 Math. Finance 14, No. 3, 481-485 (2004). We show that, if prices in a market are Choquet expectations, the existence of one frictionless asset may force the whole market to be frictionless. Any risky asset will cause this collapse if prices depend only on the distribution with respect to a given nonatomic probability measure; the frictionless asset has to be fully revealing if such dependence is not assumed. Similar considerations apply to law-invariant coherent risk measures. Cited in 12 Documents MSC: 91B28 Finance etc. (MSC2000) 60E05 Probability distributions: general theory PDFBibTeX XMLCite \textit{E. Castagnoli} et al., Math. Finance 14, No. 3, 481--485 (2004; Zbl 1134.91400) Full Text: DOI References: [1] DOI: 10.1111/1467-9965.00068 · Zbl 0980.91042 · doi:10.1111/1467-9965.00068 [2] Chateauneuf A., Math. Finance 6 pp 323– (1996) [3] Choquet G., Annales de l’Institut Fourier 5 pp 131– (1953) · Zbl 0064.35101 · doi:10.5802/aif.53 [4] Delbaen F., Advances in Finance and Stochastics, Essays in Honour of Dieter Sondermann pp 1– (2002) · doi:10.1007/978-3-662-04790-3_1 [5] Kusuoka S., Adv. Math. Economics 3 pp 83– (2001) · doi:10.1007/978-4-431-67891-5_4 [6] Mackey G. W., Trans. Am. Math. Soc. 85 pp 134– (1957) [7] DOI: 10.1007/s102030070003 · Zbl 0987.28002 · doi:10.1007/s102030070003 [8] E.Rosazza Gianin(2002 ): Convexity and Law Invariance of Risk Measures. Doctoral dissertation , Universita di Bergamo. [9] Wang S., ASTIN Bull. 26 pp 71– (1996) [10] Wang S., J. Risk & Ins. 67 pp 15– (2000) [11] DOI: 10.1016/S0167-6687(97)00031-0 · Zbl 0959.62099 · doi:10.1016/S0167-6687(97)00031-0 This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.