바로가기메뉴

본문 바로가기 주메뉴 바로가기

ACOMS+ 및 학술지 리포지터리 설명회

  • 한국과학기술정보연구원(KISTI) 서울분원 대회의실(별관 3층)
  • 2024년 07월 03일(수) 13:30
사전등록 바로가기
 

logo

ISSN : 1226-0657

논문 상세

이전
논문 투고

Vol.20 No.4
Citation Share

DYNAMIC RISK MEASURES AND G-EXPECTATION

DYNAMIC RISK MEASURES AND G-EXPECTATION

한국수학교육학회지시리즈B:순수및응용수학 / 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 (Department of Mathematics, Sungshin Women's University)
Kim, Ju Hong. (2013). DYNAMIC RISK MEASURES AND G-EXPECTATION. 한국수학교육학회지시리즈B:순수및응용수학, 20(4), 287-298, https://doi.org/10.7468/jksmeb.2013.20.4.287
  • 다운로드 수
  • 조회수
PDF 다운로드

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

참고문헌

1.

(1953). Le comportement de l'homme rationnel devant le risque: Critique des postulates et axiomes de l'ecole americaine. Econometrica, 21, 503-546. 10.2307/1907921.

2.

(1997). Thinking coherently. Risk, 10, 68-71.

3.

(1999). Coherent measures of risk. Mathematical Finance, 9, 203-228. 10.1111/1467-9965.00068.

4.

Distortion risk measures and discrete risks, Working paper.

5.

(2005). Choquet expectation and Peng's g-expectation. The Annals of Probability, 33, 1179-1199. 10.1214/009117904000001053.

6.

(1953). Theory of capacities. Ann. Inst. Fourier (Grenoble), 5, 131-195.

7.

(2002). Filtration consistent nonlinear expectations and related g-expectations. Probability Theory and Related Fields, 123, 1-27. 10.1007/s004400100172.

8.

(1961). Risk, ambiguity, and the Savage axioms. Quart. J. Econom., 75, 643-669. 10.2307/1884324.

9.

(2002). Convex measures of risk and trading constraints. Finance & Stochastics, 6, 429-447. 10.1007/s007800200072.

10.

Robust preferences and convex measures of risk;Advances in Finance and Stochastics.

11.

Stochastic Finance: An introduction in discrete time.

12.

Representing sublinear risk measures and pricing rules.

13.

(2002). Putting order in risk measures. Journal of Banking & Finance, 26, 1473-1486. 10.1016/S0378-4266(02)00270-4.

14.

(2006). Convexity, translation invariance and subadditivity for g-expectation and related risk measures. Annals of Applied Provability, 18, 245-258.

15.

(2009). The relationship between risk measures and choquet expectations in the framework of g-expectations. Statistics and Probability Letters, 79, 508-512. 10.1016/j.spl.2008.09.025.

16.

(2000). Back to the future . Plenary lecture at the FirstWorld Cogress of the Bachelier Society.

17.

(1997). Backward stochastic differential equations in finance. Math. Finance, 7, 1-71. 10.1111/1467-9965.00022.

18.

(2001). On law invariant coherent risk measures. Adv. Math. Econ., 3, 83-95. 10.1007/978-4-431-67891-5_4.

19.

(1952). Portfolio selection. The Journal of Finance, 26, 1443-1471.

20.

(1990). Adapted solution of a backward stochastic differential equation. Systems and Control Letters, 14, 55-61. 10.1016/0167-6911(90)90082-6.

21.

(1997). Backward SDE and related g-expectations;Backward stochastic differential equations. Pitman Res. Notes Math. Ser., 364, 141-159.

22.

Modeling Derivatives Pricing Mechanisms with their Generating Functions, arXiv:math/0605599 [math.PR].

23.

(2006). Some examples of risk measures via g-expectations. Insurance: Mathematics and Economics, 39, 19-34. 10.1016/j.insmatheco.2006.01.002.

24.

A class of dynamic risk measures.

25.

(1996). Premium calculation by transforming the layer premium density. Astin Bulletin, 26, 71-92. 10.2143/AST.26.1.563234.

26.

(2003). Dynamic coherent risk measures. Stochastic Processes and their Applications, 112, 185-200.

한국수학교육학회지시리즈B:순수및응용수학

논문 투고 OA 정책