Risk measuring under model uncertainty

DOI10.1214/11-AAP766zbMath1242.46006arXiv1004.5524MaRDI QIDQ2428050

Jocelyne Bion-Nadal, Magali Kervarec

Publication date: 20 April 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.5524

zbMATH Keywords

uncertainty; capacity; duality theory; risk measure

Mathematics Subject Classification ID

46A20: Duality theory for topological vector spaces

46E05: Lattices of continuous, differentiable or analytic functions

Related Items

MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION, Universal arbitrage aggregator in discrete-time markets under uncertainty, Dynamic no-good-deal pricing measures and extension theorems for linear operators on \(L^\infty\), Second-order BSDEs with jumps: formulation and uniqueness, Fatou closedness under model uncertainty, On dynamic deviation measures and continuous-time portfolio optimization, Minimal supersolutions of BSDEs under volatility uncertainty, Equilibrium prices and trade under ambiguous volatility, Ambiguous volatility, possibility and utility in continuous time, MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS

Cites Work

• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Representation of the penalty term of dynamic concave utilities
• Dynamic monetary risk measures for bounded discrete-time processes
• Dynamic risk measures: Time consistency and risk measures from BMO martingales
• Time consistency conditions for acceptability measures, with an application to tail value at risk
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Time consistent dynamic risk processes
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• Espaces de Sobolev gaussiens. (Gaussian Sobolev spaces)
• Topologies fines et compactifications associées à certains espaces de Dirichlet
• Conditional and dynamic convex risk measures
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Coherent Measures of Risk
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• Stochastic finance. An introduction in discrete time
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item