MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION

DOI10.1111/mafi.12062zbMath1378.91128arXiv1011.3685MaRDI QIDQ5739194

Yu-hong Xu

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

zbMATH Keywords

\(g\)-expectation; backward stochastic differential equation; risk sharing; risk contribution; stochastic interaction; insolvency risk; multidimensional dynamic convex risk measure

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

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

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory