Risk measures for processes and BSDEs

Réveillac, Anthony; Penner, Irina

Réveillac, Anthony; Penner, Irina (2015), Risk measures for processes and BSDEs, Finance and Stochastics, 19, 1, p. 23-66. http://dx.doi.org/10.1007/s00780-014-0243-x

Type

Article accepté pour publication ou publié

External document link

http://hal.archives-ouvertes.fr/hal-00814702

Date

2015

Journal name

Finance and Stochastics

Volume

Number

Publisher

Springer

Pages

23-66

Abstract (EN)

The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for processes. By combining a decomposition result for optional measures, and a dual representation of a convex risk measure for bounded \cd processes, we show that this framework provides a systematic approach to the both issues of model ambiguity, and uncertainty about the time value of money. We also establish a link between risk measures for processes and BSDEs.

Subjects / Keywords

BSDEs; Decomposition of optional measures; Cash subadditivity; Model ambiguity; Discounting ambiguity; Convex risk measures for processes

JEL

D8 - Information, Knowledge, and Uncertainty
D81 - Criteria for Decision-Making under Risk and Uncertainty