Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles

DOI10.1007/s00780-012-0176-1zbMath1262.91091arXiv1002.3627MaRDI QIDQ693031

Beatrice Acciaio, Hans Föllmer, Irina Penner

Publication date: 7 December 2012

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

Full work available at URL: https://arxiv.org/abs/1002.3627

zbMATH Keywords

bubbles; model ambiguity; time consistency; asymptotic safety; robust representation; cash subadditivity; discounting ambiguity; dynamic convex risk measures; cash flows; dynamic penalisation

Mathematics Subject Classification ID

91B16: Utility theory

60G35: Signal detection and filtering (aspects of stochastic processes)

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