Inf-convolution of G-expectations

Xuepeng Bai and Rainer Buckdahn

Papers from arXiv.org

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.

Date: 2009-10
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Published in Science China Mathematics, 2010 Vol. 53 No. 8: 1957-1970

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0910.5398

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