Risk measures for processes and BSDEs

DOI10.1007/S00780-014-0243-XzbMATH Open1306.60025arXiv1304.4853OpenAlexW2154710747MaRDI QIDQ486926FDOQ486926

Authors: Irina Penner, Anthony Réveillac 

Publication date: 19 January 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1304.4853

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zbMATH Keywords

backward stochastic differential equationsmodel ambiguitycash subadditivitydiscounting ambiguityrisk measures for processes

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07)

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Cited In (13)

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• Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
• Risk measures and progressive enlargement of filtration: a BSDE approach
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