Inf-convolution of G-expectations

Details Inf-convolution of G-expectations Inf-convolution of G-expectations

2009-10-28

arxiv.org/abs/0910.5398v1

Science China Mathematics, 2010 Vol. 53 No. 8: 1957-1970

Economy

Quantitative Finance

Risk Management

23 pages

Scientific paper

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.

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