9 citations · 14 across the 16 of their papers we have counts for
3 papers · 1 filter
SIG-BSDE for Dynamic Risk Measures
Nacira Agram, Jan Rems, Emanuela Rosazza Gianin
In this paper, we consider dynamic risk measures induced by backward stochastic differential equations (BSDEs). We discuss different examples that come up in the literature, includ…
Geometric BSDEs
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
We introduce Geometric Backward Stochastic Differential Equations (GBSDEs) and two-driver BSDEs, which arise naturally in the geometric dynamics of dynamic return risk measures and…
Cash non-additive risk measures: horizon risk and generalized entropy
Giulia Di Nunno, Emanuela Rosazza Gianin
Horizon risk (see arXiv:2301.04971) is studied in the context of cash non-additive fully-dynamic risk measures induced by BSDEs. Furthermore, we introduce a risk measure based on g…