Inf-convolution of G-expectations
Risk Management
2015-05-14 v1 Probability
Abstract
In this paper we will discuss the optimal risk transfer problems when risk measures are generated by G-expectations, and we present the relationship between inf-convolution of G-expectations and the inf-convolution of drivers G.
Cite
@article{arxiv.0910.5398,
title = {Inf-convolution of G-expectations},
author = {Xuepeng Bai and Rainer Buckdahn},
journal= {arXiv preprint arXiv:0910.5398},
year = {2015}
}
Comments
23 pages