Inf-convolution of G-expectations
classification
💱 q-fin.RM
math.PR
keywords
g-expectationsinf-convolutionriskdiscussdriversgeneratedmeasuresoptimal
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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 inf-convolution of drivers G.
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