Dynamic risk measures for processes via backward stochastic differential equations
Shijie Wang and
Insurance: Mathematics and Economics, 2019, vol. 86, issue C, 43-50
We provide some time-consistent dynamic convex (resp. coherent) risk measures for processes via backward stochastic differential equations (BSDEs for short), and establish the one-to-one correspondence between the generators of BSDEs and the associated dynamic convex (resp. coherent) risk measures for processes. Furthermore, we show that the dynamic convex (resp. coherent) risk measures for processes via BSDEs coincide with the classical dynamic convex (resp. coherent) risk measures under the framework of Peng’s g-expectations.
Keywords: Dynamic risk measure for processes; Dynamic convex risk measure; Dynamic coherent risk measure; Backward stochastic differential equation; g-expectation (search for similar items in EconPapers)
JEL-codes: D81 G11 G12 G13 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:86:y:2019:i:c:p:43-50
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