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Generalized entropic risk measures and related BSDEs

Hanmin Ma and Dejian Tian

Statistics & Probability Letters, 2021, vol. 174, issue C

Abstract: In this paper, we consider the generalized entropic risk measures and related BSDEs. We establish a variational representation for the generalized relative entropy. By the variational representation result, (conditional) generalized entropic risk measures are defined and their features are studied. We also build the relationship between conditional generalized entropic risk measures and a class of BSDEs.

Keywords: Generalized relative entropy; Variational representation; Generalized entropic risk measure; BSDE (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2021.109110

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