On some claims related to Choquet integral risk measures.

We examine two important claims by S.S. Wang and J. Treussard concerning the use of distortion functions as a universal tool in pricing financial and insurance risks, and the use of risk neutral probabilities in evaluating risks, respectively. Their claims seem reasonable only in the classical framework of Black-Scholes model, but not convincing in more extended and realistic models such as Lévy processes. [ABSTRACT FROM AUTHOR]