Inf-convolution of \(G\)-expectations (Q625814): Difference between revisions

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.

0 references

zbMATH Keywords

optimal risk transfer model

0 references

inf-convolution

0 references

\(G\)-expectation

0 references

\(G\)-Normal distribution

0 references

\(G\)-Brownian motion

0 references

reviewed by

Andrew I. Dale

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Coherent Measures of Risk

0 references

Q3160493

0 references

Inf-convolution of risk measures and optimal risk transfer

0 references

Ambiguity, Risk, and Asset Returns in Continuous Time

0 references

Q4550909

0 references

Backward Stochastic Differential Equations in Finance

0 references

Convex measures of risk and trading constraints

0 references

Q4550910

0 references

Adapted solution of a backward stochastic differential equation

0 references

Q4357507

0 references

Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation

0 references

Q5436616

0 references

Risk measures via \(g\)-expectations

0 references

Identifiers

zbMATH Open document ID

1217.60058

0 references

DOI

10.1007/s11425-010-4031-6

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:625814

@@ Property / author @@
-Xue-Peng Bai
@@ Property / author: Xue-Peng Bai / rank @@
-Normal rank
@@ Property / reviewed by @@
-Andrew I. Dale
@@ Property / reviewed by: Andrew I. Dale / rank @@
-Normal rank
@@ Property / author @@
+Xue-Peng Bai
@@ Property / author: Xue-Peng Bai / rank @@
+Normal rank
@@ Property / reviewed by @@
+Andrew I. Dale
@@ Property / reviewed by: Andrew I. Dale / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2016357196
@@ Property / OpenAlex ID: W2016357196 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.5398
@@ Property / arXiv ID: 0910.5398 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q3160493
@@ Property / cites work: Q3160493 / rank @@
+Normal rank
@@ Property / cites work @@
+Inf-convolution of risk measures and optimal risk transfer
+Normal rank
@@ Property / cites work @@
+Ambiguity, Risk, and Asset Returns in Continuous Time
+Normal rank
@@ Property / cites work @@
+Q4550909
@@ Property / cites work: Q4550909 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Q4550910
@@ Property / cites work: Q4550910 / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Q4357507
@@ Property / cites work: Q4357507 / rank @@
+Normal rank
@@ Property / cites work @@
+Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
+Normal rank
@@ Property / cites work @@
+Q5436616
@@ Property / cites work: Q5436616 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk measures via \(g\)-expectations
@@ Property / cites work: Risk measures via \(g\)-expectations / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:625814