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The relationship between risk measures and choquet expectations in the framework of g-expectations

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  • He, Kun
  • Hu, Mingshang
  • Chen, Zengjing

Abstract

This paper investigates the relationships between coherent (convex) risk measures and Choquet expectations under the g-expectations framework. We deduce that convex risk measures can be dominated by Choquet expectations if, and only if they are coherent risk measures.

Suggested Citation

  • He, Kun & Hu, Mingshang & Chen, Zengjing, 2009. "The relationship between risk measures and choquet expectations in the framework of g-expectations," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 508-512, February.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:4:p:508-512
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    References listed on IDEAS

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    Cited by:

    1. Ju Hong Kim, 2021. "The relations of Choquet Integral and G-Expectation," Papers 2102.10213, arXiv.org.

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