Coherent and convex monetary risk measures for bounded càdlàg processes

Patrick Cheridito, Freddy Delbaen and Michael Kupper

Stochastic Processes and their Applications, 2004, vol. 112, issue 1, 1-22

Abstract: If the random future evolution of values is modelled in continuous time, then a risk measure can be viewed as a functional on a space of continuous-time stochastic processes. We extend the notions of coherent and convex monetary risk measures to the space of bounded càdlàg processes that are adapted to a given filtration. Then, we prove representation results that generalize earlier results for one- and multi-period risk measures, and we discuss some examples.

Keywords: Coherent; risk; measures; Convex; monetary; risk; measures; Coherent; utility; functionals; Concave; monetary; utility; functionals; Cadlag; processes; Representation; theorem (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (20)

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