Dynamic risk measure for BSVIE with jumps and semimartingale issues

被引：20
作者：
Agram, Nacira [1 ,2 ]
机构：
[1] Univ Oslo, Dept Math, POB 1053, N-0316 Oslo, Norway
[2] Univ Biskra, Biskra, Algeria
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2019年 / 37卷 / 03期
关键词：
Brownian motion; compensated Poisson random measure; backward stochastic Volterra integral equation; risk measure; semimartingale; STOCHASTIC DIFFERENTIAL-EQUATIONS; VOLTERRA INTEGRAL-EQUATIONS; BSDES;
D O I：
10.1080/07362994.2019.1569531
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Risk measure is a fundamental concept in finance and in the insurance industry. It is used to adjust life insurance rates. In this article, we will study dynamic risk measures by means of backward stochastic Volterra integral equations (BSVIEs) with jumps. We prove a comparison theorem for such a type of equations. Since the solution of a BSVIEs is not a semimartingale in general, we will discuss some particular semimartingale issues.
引用
收藏
页码：361 / 376
页数：16
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