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(1), 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.
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