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arXiv · 1607.02289

An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior

Wing Fung Chong·Ying Hu·Gechun Liang·Thaleia Zariphopoulou
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Abstract

Using elements from the theory of ergodic backward stochastic differential equations (BSDE), we study the behavior of forward entropic risk measures. We provide their general representation results (via both BSDE and convex duality) and examine their behavior for risk positions of long maturities. We show that forward entropic risk measures converge to some constant exponentially fast. We also compare them with their classical counterparts and derive a parity result.

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Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou. 2016-07-08. An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. https://arxiv.org/abs/1607.02289

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