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 infconvolution of drivers G.
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Bai, X., Buckdahn, R. Inf-convolution of G-expectations. Sci. China Math. 53, 1957–1970 (2010). https://doi.org/10.1007/s11425-010-4031-6
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DOI: https://doi.org/10.1007/s11425-010-4031-6