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.
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Cites work
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Cited in
(13)- Dynamic risk measures via backward doubly stochastic Volterra integral equations with jumps
- Supermartingales as Radon-Nikodym densities and related measure extensions
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- Risk measures and progressive enlargement of filtration: a BSDE approach
- Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures
- Dynamic risk measures for processes via backward stochastic differential equations
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- Set-valued dynamic risk measures for bounded discrete-time processes
- Multivariate dynamic cash sub-additive risk measures for processes
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems
- A BSDE approach to convex risk measures for derivative securities
- Backward nonlinear expectation equations
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