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Risk measures for processes and BSDEs

dc.contributor.authorRéveillac, Anthony
HAL ID: 745074
dc.contributor.authorPenner, Irina
dc.date.accessioned2013-04-18T13:51:14Z
dc.date.available2013-04-18T13:51:14Z
dc.date.issued2015
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11227
dc.language.isoenen
dc.subjectBSDEsen
dc.subjectDecomposition of optional measuresen
dc.subjectCash subadditivityen
dc.subjectModel ambiguityen
dc.subjectDiscounting ambiguityen
dc.subjectConvex risk measures for processesen
dc.subject.ddc519en
dc.subject.classificationjelD8en
dc.subject.classificationjelD81en
dc.titleRisk measures for processes and BSDEsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe 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.en
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol19
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2015
dc.relation.isversionofjnlpages23-66
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00780-014-0243-x
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00814702en
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.submittednonen


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