An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior

DOI10.1007/s00780-018-0377-3zbMath1435.91200arXiv1607.02289OpenAlexW2560223494WikidataQ128700033 ScholiaQ128700033MaRDI QIDQ1711728

Gechun Liang, Wing Fung Chong, Thaleia Zariphopoulou, Ying Hu

Publication date: 18 January 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.02289

zbMATH Keywords

incomplete marketentropic risk measureindifference pricestochastic factor modelconvex duality representationergodic backward stochastic differential equationexponential forward performance criterionlarge-maturity behaviormaturity-independent risk measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players ⋮ Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion ⋮ A New Monotonicity Condition for Ergodic Backward SDEs and Ergodic Control with Superquadratic Hamiltonians ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences ⋮ Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes ⋮ Indifference pricing of insurance-linked securities in a multi-period model ⋮ A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models ⋮ An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians ⋮ AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK

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