A New Class of Coherent Risk Measures

摘要：

A new class of risk measures induced by G-expectations is proposed. The G-expectation is a nonlinear expectation which is generated via a nonlinear heat equation with infinitesimal generator G. Properties of the new proposed risk measures are discussed, and these risk measures satisfy the characterizing axioms for coherent risk measures. To extend these results, dynamic risk measures could be similarly induced by conditional G-expectations and also be coherent.

关键词： coherent risk measures G-expectations dynamic risk measures viscosity solution

作者: Wei WANG

作者单位: School of Mathematics and System Sciences,Shandong University,Jinan 250100,China

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 98-101

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）