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http://dx.doi.org/10.7468/jksmeb.2013.20.4.287

DYNAMIC RISK MEASURES AND G-EXPECTATION  

Kim, Ju Hong (Department of Mathematics, Sungshin Women's University)
Publication Information
The Pure and Applied Mathematics / v.20, no.4, 2013 , pp. 287-298 More about this Journal
Abstract
A standard deviation has been a starting point for a mathematical definition of risk. As a remedy for drawbacks such as subadditivity property discouraging the diversification, coherent and convex risk measures are introduced in an axiomatic approach. Choquet expectation and g-expectations, which generalize mathematical expectations, are widely used in hedging and pricing contingent claims in incomplete markets. The each risk measure or expectation give rise to its own pricing rules. In this paper we investigate relationships among dynamic risk measures, Choquet expectation and dynamic g-expectations in the framework of the continuous-time asset pricing.
Keywords
coherent risk measure; dynamic risk measure; g-expectation; Choquet expectation; nonlinear expectation;
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