Fully-dynamic risk measures: horizon risk, time-consistency, and relations with BSDEs and BSVIEs

DOI10.1137/23M1546804arXiv2301.04971MaRDI QIDQ6423202

Giulia Di Nunno, Emanuela Rosazza Gianin

Publication date: 12 January 2023

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Stochastic integral equations (60H20)

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