MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION
DOI10.1111/mafi.12062zbMath1378.91128arXiv1011.3685OpenAlexW2134744124MaRDI QIDQ5739194
Publication date: 15 July 2016
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1011.3685
\(g\)-expectationbackward stochastic differential equationrisk sharingrisk contributionstochastic interactioninsolvency riskmultidimensional dynamic convex risk measure
Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (11)
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