Risk measures and nonlinear expectations

HIGHLIGHTS

• who: Zengjing Chen and collaborators from the School of Mathematics, Shandong University, Jinan, China have published the Article: Risk Measures and Nonlinear Expectations, in the Journal: (JOURNAL)
• what: The authors investigate differences amongst these risk measures and expectations. The authors show that in the family of convex risk measures only coherent risk measures satisfy Jensen`s inequality. The authors show that the coherent pricing is always less than the corresponding Choquet pricing. The authors show that if g-expectations yield coherent (convex) risk measures then the corresponding conditional g-expectations or equivalently the dynamic risk . . .
  

   

  

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