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ISSN : 1226-0657

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Vol.20 No.4
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DYNAMIC RISK MEASURES AND G-EXPECTATION

Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics / Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, (P)1226-0657; (E)2287-6081
2013, v.20 no.4, pp.287-298
https://doi.org/10.7468/jksmeb.2013.20.4.287
Kim, Ju Hong
Kim,, J. H. (2013). DYNAMIC RISK MEASURES AND G-EXPECTATION. Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, 20(4), 287-298, https://doi.org/10.7468/jksmeb.2013.20.4.287
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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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Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics

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