Risk measures via \(g\)-expectations
From MaRDI portal
Publication:2507604
DOI10.1016/j.insmatheco.2006.01.002zbMath1147.91346OpenAlexW2120630305WikidataQ56767254 ScholiaQ56767254MaRDI QIDQ2507604
Publication date: 5 October 2006
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.01.002
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (only showing first 100 items - show all)
Jensen's inequality for \(g\)-expectations in general filtration spaces ⋮ Dual representation of minimal supersolutions of convex BSDEs ⋮ BSDEs with Time-Delayed Generators of a Moving Average Type with Applications to Non-Monotone Preferences ⋮ Nonlinear equity valuation using conic finance and its regulatory implications ⋮ Generalized Peng's \(g\)-expectations and related properties ⋮ Jensen's inequality for \(g\)-convex function under \(g\)-expectation ⋮ Backward Stochastic Difference Equations with Finite States ⋮ \(L^p\) weak convergence method on BSDEs with non-uniformly Lipschitz coefficients and its applications ⋮ A functional Itô's calculus approach to convex risk measures with jump diffusion ⋮ Utility maximization underg*-expectation ⋮ Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time ⋮ REPRESENTATION OF BSDE-BASED DYNAMIC RISK MEASURES AND DYNAMIC CAPITAL ALLOCATIONS ⋮ On the integral representation of \(g\)-expectations with terminal constraints ⋮ Markovian forward-backward stochastic differential equations and stochastic flows ⋮ A convex-risk-measure based model and genetic algorithm for portfolio selection ⋮ Acceptability indexes via \(g\)-expectations: an application to liquidity risk ⋮ On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations ⋮ Better than pre-committed optimal mean-variance policy in a jump diffusion market ⋮ The least squares estimator of random variables under sublinear expectations ⋮ \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps ⋮ Backward stochastic differential equations with a uniformly continuous generator and related \(g\)-expectation ⋮ Time-consistent evaluation of credit risk with contagion ⋮ On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation ⋮ Characterization of fully coupled FBSDE in terms of portfolio optimization ⋮ Backward stochastic difference equations for a single jump process ⋮ Dynamic risk measures for processes via backward stochastic differential equations ⋮ On securitization, market completion and equilibrium risk transfer ⋮ Dynkin game under \(g\)-expectation in continuous time ⋮ Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis ⋮ Backward doubly stochastic Volterra integral equations and their applications ⋮ A generalized stochastic differential utility driven by \(G\)-Brownian motion ⋮ Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths ⋮ Inf-convolution of \(G\)-expectations ⋮ \(k\)-sample upper expectation linear regression-modeling, identifiability, estimation and prediction ⋮ \(L^p\) solutions of backward stochastic Volterra integral equations ⋮ Time-consistent actuarial valuations ⋮ Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\) ⋮ On dynamic deviation measures and continuous-time portfolio optimization ⋮ Optimal asset allocation: a worst scenario expectation approach ⋮ BSDEs driven by time-changed Lévy noises and optimal control ⋮ Optimal stopping with dynamic variational preferences ⋮ Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application ⋮ Some properties of \(g\)-convex functions ⋮ Non-smooth analysis method in optimal investment-BSDE approach ⋮ Representation of the penalty term of dynamic concave utilities ⋮ Optimization problem of insurance investment based on spectral risk measure and RAROC criterion ⋮ Two price economies in continuous time ⋮ Dynamic risk measures: Time consistency and risk measures from BMO martingales ⋮ Cooperative hedging in the complete market under \(g\)-expectation constraint ⋮ Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach ⋮ Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains ⋮ Risk measures for processes and BSDEs ⋮ Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach ⋮ Martingale problem under nonlinear expectations ⋮ Quantifying ambiguity bounds via time-consistent sets of indistinguishable models ⋮ Generalized entropic risk measures and related BSDEs ⋮ The Neyman-Pearson lemma under \(g\)-probability ⋮ Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion ⋮ Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures ⋮ Existence, uniqueness and comparisons for BSDEs in general spaces ⋮ Concentration of dynamic risk measures in a Brownian filtration ⋮ A general theory of finite state backward stochastic difference equations ⋮ Recent progress in random metric theory and its applications to conditional risk measures ⋮ Optimal stopping for non-linear expectations. II ⋮ A generalized Neyman-Pearson Lemma for \(g\)-probabilities ⋮ Dynkin's formula under the \(G\)-expectation ⋮ Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions ⋮ Fair valuation of insurance liability cash-flow streams in continuous time: theory ⋮ \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions ⋮ Set-valued risk measures as backward stochastic difference inclusions and equations ⋮ A general comparison theorem for backward stochastic differential equations ⋮ A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems ⋮ Risk measures via \(g\)-expectations ⋮ A class of stochastic Fredholm-algebraic equations and applications in finance ⋮ The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time ⋮ Stochastic ordering by \(g\)-expectations ⋮ Representation theorems for WVaR with respect to a capacity ⋮ A necessary and sufficient condition for probability measures dominated by \(g\)-expectation ⋮ The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations ⋮ Time consistent dynamic risk processes ⋮ Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps ⋮ A branching particle system approximation for a class of FBSDEs ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Doubly reflected BSDEs with integrable parameters and related Dynkin games ⋮ A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance ⋮ Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration ⋮ Continuous-time limits of multi-period cost-of-capital margins ⋮ Retracted: Sublinear expectation nonlinear regression for the financial risk measurement and management ⋮ Lenglart domination inequalities for \(g\)-expectations ⋮ Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations ⋮ An overview of representation theorems for static risk measures ⋮ A note on Jensen's inequality for BSDEs ⋮ Time-consistency of risk measures: how strong is such a property? ⋮ High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion ⋮ BSDEs with weak terminal condition ⋮ Continuous dependence property of BSDE with constraints ⋮ A risk-based approach for pricing American options under a generalized Markov regime-switching model ⋮ Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance ⋮ A BSDE Approach to Convex Risk Measures for Derivative Securities ⋮ On the minimal members of convex expectations with constraints
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- Some new classes of consistent risk measures
- On convex principles of premium calculation
- Axiomatic characterization of insurance prices
- Risk measures and insurance premium principles.
- Jensen's inequality for \(g\)-expectation. II
- Convex measures of risk and trading constraints
- A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
- A valuation algorithm for indifference prices in incomplete markets
- Filtration-consistent nonlinear expectations and related \(g\)-expectations
- A general downcrossing inequality for \(g\)-martingales
- On dynamic measure of risk
- Coherent multiperiod risk adjusted values and Bellman's principle
- Dynamic coherent risk measures
- Conditional and dynamic convex risk measures
- Optimality conditions in portfolio analysis with general deviation measures
- Risk measures via \(g\)-expectations
- A general converse comparison theorem for backward stochastic differential equations
- Coherent Measures of Risk
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Stochastic Differential Utility
- Backward Stochastic Differential Equations in Finance
- A Unified Approach to Generate Risk Measures
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Stochastic finance. An introduction in discrete time
- Robust Statistics
- Introduction to a theory of value coherent with the no-arbitrage principle
This page was built for publication: Risk measures via \(g\)-expectations
