Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

Mean field BSDEs and global dynamic risk measures

Abstract : We study Mean-field BSDEs with jumps and a generalized mean-field operator that can capture higher order interactions such as those occurring on an inhomogeneous random graph. We provide comparison and strict comparison results. Based on these, we interpret the BSDE solution as a global dynamic risk measure that can account for the intensity of system interactions and therefore incorporate systemic risk. Using Fenchel-Legendre transforms, we establish a dual representation for the risk measure, and in particular we exhibit its dependence on the mean-field operator.
Document type :
Preprints, Working Papers, ...
Complete list of metadata

Cited literature [21 references]  Display  Hide  Download

https://hal.inria.fr/hal-02421316
Contributor : Brigitte Briot <>
Submitted on : Friday, December 20, 2019 - 1:33:48 PM
Last modification on : Wednesday, September 23, 2020 - 4:28:52 AM
Long-term archiving on: : Saturday, March 21, 2020 - 8:10:09 PM

File

Mean field BSDEs and global dy...
Files produced by the author(s)

Identifiers

Citation

Rui Chen, Roxana Dumitrescu, Andreea Minca, Agnès Sulem. Mean field BSDEs and global dynamic risk measures. 2019. ⟨hal-02421316⟩

Share

Metrics

Record views

151

Files downloads

663