| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077683 | Insurance: Mathematics and Economics | 2006 | 16 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Emanuela Rosazza Gianin,