Risk measures for processes and BSDEs
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...
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| creator | Penner, Irina Reveillac, Anthony |
| description | 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. |
| doi_str_mv | 10.48550/arxiv.1304.4853 |
| format | Article |
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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
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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.</description><subject>Mathematics - Probability</subject><subject>Quantitative Finance - Risk Management</subject><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2013</creationdate><recordtype>article</recordtype><sourceid>GOX</sourceid><recordid>eNpjYJAwNNAzsTA1NdBPLKrILNMzNDYwAQkYczKoBmUWZyvkpiYWlxalFiuk5RcpFBTlJ6cWFwN5iXkpCk7BLq7FPAysaYk5xam8UJqbQc7NNcTZQxdsXnxBUWZuYlFlPMjceJC5xgQVAABc7yua</recordid><startdate>20130417</startdate><enddate>20130417</enddate><creator>Penner, Irina</creator><creator>Reveillac, Anthony</creator><scope>AKZ</scope><scope>GOX</scope></search><sort><creationdate>20130417</creationdate><title>Risk measures for processes and BSDEs</title><author>Penner, Irina ; Reveillac, Anthony</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-arxiv_primary_1304_48533</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2013</creationdate><topic>Mathematics - Probability</topic><topic>Quantitative Finance - Risk Management</topic><toplevel>online_resources</toplevel><creatorcontrib>Penner, Irina</creatorcontrib><creatorcontrib>Reveillac, Anthony</creatorcontrib><collection>arXiv Mathematics</collection><collection>arXiv.org</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>Penner, Irina</au><au>Reveillac, Anthony</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Risk measures for processes and BSDEs</atitle><date>2013-04-17</date><risdate>2013</risdate><abstract>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.</abstract><doi>10.48550/arxiv.1304.4853</doi><oa>free_for_read</oa></addata></record> |
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| identifier | DOI: 10.48550/arxiv.1304.4853 |
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| language | eng |
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| subjects | Mathematics - Probability Quantitative Finance - Risk Management |
| title | Risk measures for processes and BSDEs |
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