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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorChen, Rui*
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
hal.structure.identifier
dc.contributor.authorDumitrescu, Roxana*
hal.structure.identifier
dc.contributor.authorMinca, Andreea*
hal.structure.identifierInria Paris-Rocquencourt
dc.contributor.authorSulem, Agnès*
dc.date.accessioned2020-04-24T12:48:51Z
dc.date.available2020-04-24T12:48:51Z
dc.date.issued2019
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20661
dc.language.isoenen
dc.subjectBSDEs
dc.subjectSystemic risk measures
dc.subject.ddc519en
dc.titleMean field BSDEs and global dynamic risk measures
dc.typeDocument de travail / Working paper
dc.description.abstractenWe 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.
dc.publisher.nameCahier de recherche CEREMADE, Université Paris-Dauphine
dc.publisher.cityParisen
dc.identifier.citationpages28
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphine
dc.identifier.urlsitehttps://hal.inria.fr/hal-02421316
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2019
dc.description.ssrncandidatenon
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dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2020-05-13T09:36:27Z
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