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Generalized entropic risk measures and related BSDEs

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  • Ma, Hanmin
  • Tian, Dejian

Abstract

In this paper, we consider the generalized entropic risk measures and related BSDEs. We establish a variational representation for the generalized relative entropy. By the variational representation result, (conditional) generalized entropic risk measures are defined and their features are studied. We also build the relationship between conditional generalized entropic risk measures and a class of BSDEs.

Suggested Citation

  • Ma, Hanmin & Tian, Dejian, 2021. "Generalized entropic risk measures and related BSDEs," Statistics & Probability Letters, Elsevier, vol. 174(C).
    • Handle: RePEc:eee:stapro:v:174:y:2021:i:c:s0167715221000729
    DOI: 10.1016/j.spl.2021.109110
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