Risk measures via \(g\)-expectations. (English) Zbl 1147.91346
Summary: This paper shows how \(g\)-expectations and conditional g-expectations provide some families of static and dynamic risk measures. Conversely, some sufficient conditions for a dynamic risk measure to be induced by a conditional \(g\)-expectation are provided. A financial interpretation of the functional \(g\) will be given.
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
| 60H30 | Applications of stochastic analysis (to PDEs, etc.) |
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
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