The relationship between risk measures and choquet expectations in the framework of g-expectations

This paper investigates the relationships between coherent (convex) risk measures and Choquet expectations under the g-expectations framework. We deduce that convex risk measures can be dominated by Choquet expectations if, and only if they are coherent risk measures.

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Year of publication:	2009
Authors:	He, Kun ; Hu, Mingshang ; Chen, Zengjing
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 4, p. 508-512
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259105