• Title of article

    Risk measures via -expectations

  • Author/Authors

    Emanuela Rosazza Gianin، نويسنده , , Emanuela، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2006
  • Pages
    16
  • From page
    19
  • To page
    34
  • 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.
  • Keywords
    Insurance premium , IM10 , IM30 , IE12 , Dynamic risk measure , g -expectation , Coherent/convex risk measure
  • Journal title
    Insurance Mathematics and Economics
  • Serial Year
    2006
  • Journal title
    Insurance Mathematics and Economics
  • Record number

    1543195

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1543195