Mean-field BSDEs with jumps and dual representation for global risk measures

作     者：Rui Chen Roxana Dumitrescu Andreea Minca Agnès Sulem Rui Chen;Roxana Dumitrescu;Andreea Minca;Agnès Sulem

作者机构：INRIA Paris2 rue Simone IffCS 4211275589 ParisCedex 12France UniversitéParis-Dauphine75775 ParisCedex 16France Department of MathematicsKing’s College LondonStrandLondon WC 2 R 2LSUK Department of Operations Research and Information EngineeringCornell University222 Rhodes HallIthacaNY 14853USA 

出 版 物：《Probability, Uncertainty and Quantitative Risk》 (概率、不确定性与定量风险（英文）)

年 卷 期：2023年第8卷第1期

页      面：33-52页

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 0714[理学-统计学（可授理学、经济学学位）] 

主　　题：Mean-field interactions BSDEs Dynamic risk measures System influence 

摘      要：We study mean-field BSDEs with jumps and a generalized mean-field operator that can capture higher-order interactions.We interpret the BSDE solution as a dynamic risk measure for a representative bank whose risk attitude is influenced by the system.This influence can come in a wide class of choices,including the average system state or average intensity of system interactions.Using Fenchel−Legendre transforms,our main result is a dual representation for the expectation of the risk measure in the convex case.In particular,we exhibit its dependence on the mean-field operator.