This paper shows how g-expectations and conditional g-expectations provide some families of static and dynamic risk measures. Conversely, some sufficient conditions for a dynamic risk measure to be induced by a conditional g-expectation are provided. A financial interpretation of the functional g will be given.

ROSAZZA GIANIN, E. (2006). Risk measures via g-expectations. INSURANCE MATHEMATICS & ECONOMICS, 39(19), 19-34 [10.1016/j.insmatheco.2006.01.002].

Risk measures via g-expectations

ROSAZZA GIANIN, EMANUELA
2006

Abstract

This paper shows how g-expectations and conditional g-expectations provide some families of static and dynamic risk measures. Conversely, some sufficient conditions for a dynamic risk measure to be induced by a conditional g-expectation are provided. A financial interpretation of the functional g will be given.
Articolo in rivista - Articolo scientifico
Scientifica
g-expectations
English
19
34
ROSAZZA GIANIN, E. (2006). Risk measures via g-expectations. INSURANCE MATHEMATICS & ECONOMICS, 39(19), 19-34 [10.1016/j.insmatheco.2006.01.002].
ROSAZZA GIANIN, E
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10281/5362
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