Article contents
Optimal Design of Dynamic Default Risk Measures
Published online by Cambridge University Press: 30 January 2018
Abstract
We consider the question of an optimal transaction between two investors to minimize their risks. We define a dynamic entropic risk measure using backward stochastic differential equations related to a continuous-time single jump process. The inf-convolution of dynamic entropic risk measures is a key transformation in solving the optimization problem.
Keywords
MSC classification
- Type
- Research Article
- Information
- Copyright
- © Applied Probability Trust
References
- 1
- Cited by