Abstract
Choquet pricing and in particular Wang’s premium principle, have recently been put forward as an alternative to traditional pricing principles in finance and insurance. With Choquet pricing, the price of an insurance contract or financial asset equals the Choquet integral of the corresponding payoff with respect to a concave sub-additive measure. Since the resulting pricing rule is non-linear, existing theories do not provide an answer to the question of whether equilibrium exists. We introduce a general equilibrium model that allows for non-linearity, and show that Choquet pricing is consistent with general equilibrium.
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