Qu'est-ce que « Convex risk measure, entropic risk measure, indifference price » ?

A convex risk measure $\rho$ assigns to a random P&L $X$ the amount of cash that makes it acceptable, and is monotone, cash-invariant ($\rho(X + c) = \rho(X) - c$) and convex (Föllmer and Schied, 2002); expected shortfall (Book 6, chapter 21) is one. The entropic risk measure is $\rho(X) = \lambda^{-1}\log\E[e^{-\lambda X}]$, the certainty equivalent of exponential utility with risk aversion $\lambda$. The indifference price of a claim is the premium that leaves the seller exactly as well off, by the risk measure, as not selling, each with its best trading strategy: $p = \inf_\delta\rho(-Z + G_\delta) - \inf_\delta\rho(G_\delta)$, where $G_\delta$ is the gain of trading strategy $\delta$ after costs. When the underlying’s price is a martingale, as in the chapter’s simulation, not trading is best without the claim and the second term is zero.