Inf-convolution of G-expectations

DOI10.1007/S11425-010-4031-6MaRDI QIDQ625814zbMATH OpenOpenAlexFDO

Authors Rainer Buckdahn, Xue-Peng Bai

Publication date 25 February 2011

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0910.5398

zbMATH Keywords

\(G\)-Brownian motion\(G\)-expectation\(G\)-Normal distributioninf-convolutionoptimal risk transfer model

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Applications of stochastic analysis (to PDEs, etc.) (60H30) General considerations in statistical decision theory (62C05)

Abstract: In this paper we will discuss the optimal risk transfer problems when risk measures are generated by G-expectations, and we present the relationship between inf-convolution of G-expectations and the inf-convolution of drivers G.

Review text

The authors discuss the optimal risk transfer problem when risk measures are generated by \(G\)-expectations (i.e., fully nonlinear expectations characterizing the variance uncertainty in random variables). The relationship between the inf-convolution of \(G\)-expectations and the inf-convolution of drivers \(G\) is presented.

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Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
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• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• scientific article; zbMATH DE number 1795843 (Why is no real title available?)
• Inf-convolution of risk measures and optimal risk transfer
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• Risk measures via g-expectations

Cited in

(6)

• The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations
• On the integral representation of \(g\)-expectations with terminal constraints
• Path independence of additive functionals for stochastic differential equations under \(G\)-framework
• Inf-convolution of risk measures and optimal risk transfer
• scientific article; zbMATH DE number 6177986 (Why is no real title available?)
• On the integral representation of \(g\)-expectations

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