Dynamic risk measures for processes via backward stochastic differential equations
Ronglin Ji, Xuejun Shi, Shijie Wang, Jinming Zhou
| Year of publication: |
2019
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|---|---|
| Authors: | Ji, Ronglin ; Shi, Xuejun ; Wang, Shijie ; Zhou, Jinming |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 86.2019, p. 43-50
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| Subject: | Dynamic risk measure for processes | Dynamic convex risk measure | Dynamic coherent risk measure | Backward stochastic differential equation | g-expectation | Theorie | Theory | Risiko | Risk | Stochastischer Prozess | Stochastic process | Messung | Measurement | Risikomaß | Risk measure | Analysis | Mathematical analysis | Portfolio-Management | Portfolio selection | Hedging |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.02.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012058682