Abstract

We investigate dynamic risk measures which describe the riskiness of financial positions taken by investors. We deal with dynamic risk measures which are modelled by g-expectations. We study properties of dynamic risk measures and we show that properties of dynamic risk measures are determined by the generator of the BSDE defining the g-expectation and the risk measure. We discuss methods for choosing the generator of a g-expectation. We also solve a problem of optimal risk sharing between two parties and we find the optimal derivative for the risk transfer. Properties of the prices (risk measures) derived in previous chapters are investigated.

Keywords

Filtration Hedging Sulem 

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Copyright information

© Springer-Verlag London 2013

Authors and Affiliations

  • Łukasz Delong
    • 1
  1. 1.Institute of Econometrics, Division of Probabilistic MethodsWarsaw School of EconomicsWarsawPoland

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