Dynamic risk measures for processes via backward stochastic differential equations

DOI10.1016/J.INSMATHECO.2019.02.005MaRDI QIDQ2415962zbMATH OpenOpenAlexFDO

Authors Xuejun Shi, Jinming Zhou, Rong-Lin Ji, Shijie Wang

Publication date 23 May 2019

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2019.02.005

zbMATH Keywords

\(g\)-expectationbackward stochastic differential equationdynamic coherent risk measuredynamic convex risk measuredynamic risk measure for processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

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Cited in

(26)

• Stochastic differential equations for compounded risk reserves
• Concentration of dynamic risk measures in a Brownian filtration
• Set-valued risk measures as backward stochastic difference inclusions and equations
• Conditions for prosperity and depression of a stochastic R\&D model under regime switching
• Convexity and sublinearity of \(g\)-expectations
• On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
• Generalized entropic risk measures and related BSDEs
• BSDEs with jumps, optimization and applications to dynamic risk measures
• Dynamic risk measures and path-dependent second order PDEs
• BSDE and risk measures
• Representation of dynamic time-consistent convex risk measures with jumps
• A BSDE approach to convex risk measures for derivative securities
• Representation of BSDE-based dynamic risk measures and dynamic capital allocations
• Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
• Continuous-time dynamic risk measures by backward stochastic Volterra integral equations
• Risk measures for processes and BSDEs
• Dynamic risk measurement via anticipated backward stochastic differential equations
• Risk measures and progressive enlargement of filtration: a BSDE approach
• Dynamic risk measure for BSVIE with jumps and semimartingale issues
• A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes
• Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures
• Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures
• L^p solutions of general time interval BSDEs with generators satisfying a p-order weak stochastic-monotonicity condition
• Fully-dynamic risk measures: horizon risk, time-consistency, and relations with BSDEs and BSVIEs
• Dynamic risk measures via backward doubly stochastic Volterra integral equations with jumps
• Monotonicity and convergence for g-expectation of distributions

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