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Dynamic risk measures for processes via backward stochastic differential equations

Author

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  • Ji, Ronglin
  • Shi, Xuejun
  • Wang, Shijie
  • Zhou, Jinming

Abstract

We provide some time-consistent dynamic convex (resp. coherent) risk measures for processes via backward stochastic differential equations (BSDEs for short), and establish the one-to-one correspondence between the generators of BSDEs and the associated dynamic convex (resp. coherent) risk measures for processes. Furthermore, we show that the dynamic convex (resp. coherent) risk measures for processes via BSDEs coincide with the classical dynamic convex (resp. coherent) risk measures under the framework of Peng’s g-expectations.

Suggested Citation

  • Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming, 2019. "Dynamic risk measures for processes via backward stochastic differential equations," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 43-50.
    • Handle: RePEc:eee:insuma:v:86:y:2019:i:c:p:43-50
    DOI: 10.1016/j.insmatheco.2019.02.005
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    References listed on IDEAS

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    Cited by:

    1. Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming, 2022. "Convexity and sublinearity of g-expectations," Statistics & Probability Letters, Elsevier, vol. 189(C).
    2. Dejian Tian & Xunlian Wang, 2023. "Dynamic star-shaped risk measures and $g$-expectations," Papers 2305.02481, arXiv.org.

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    More about this item

    Keywords

    Dynamic risk measure for processes; Dynamic convex risk measure; Dynamic coherent risk measure; Backward stochastic differential equation; g-expectation;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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