Inf-convolution of \(G\)-expectations (Q625814): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inf-convolution of \(G\)-expectations |
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Inf-convolution of \(G\)-expectations (English)
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25 February 2011
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The authors discuss the optimal risk transfer problem when risk measures are generated by \(G\)-expectations (i.e., fully nonlinear expectations characterizing the variance uncertainty in random variables). The relationship between the inf-convolution of \(G\)-expectations and the inf-convolution of drivers \(G\) is presented.
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optimal risk transfer model
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inf-convolution
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\(G\)-expectation
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\(G\)-Normal distribution
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\(G\)-Brownian motion
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