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Optimal Design of Dynamic Default Risk Measures - MaRDI portal

Optimal Design of Dynamic Default Risk Measures (Q4903036)

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scientific article; zbMATH DE number 6127038
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Optimal Design of Dynamic Default Risk Measures
scientific article; zbMATH DE number 6127038

    Statements

    title
    Optimal Design of Dynamic Default Risk Measures (English)
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    author
    Leo Shen
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    Robert J. Elliott
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    publication date
    19 January 2013
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    zbMATH DE Number
    6127038
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    zbMATH Keywords
    dynamic entropic risk measure
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    minimal risk
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    inf-convolution
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    backward stochastic differential equation
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    OpenAlex ID
    W1976603130
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