Risk measures for processes and BSDEs

Irina Penner () and Anthony Réveillac ()

Finance and Stochastics, 2015, vol. 19, issue 1, 23-66

Abstract: The paper analyzes risk assessment for cash flow processes in continuous time. We combine the framework of convex risk measures for processes with a decomposition result for optional and predictable measures to provide a systematic approach to the issues of model ambiguity and uncertainty about the time value of money. We also establish a link between risk measures for processes and BSDEs. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Convex risk measures for processes; Discounting ambiguity; Model ambiguity; Cash subadditivity; Decomposition of optional measures; BSDEs; 60G07; 91B30; 91B16; 60H10; 60G40; D81 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00780-014-0243-x (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:19:y:2015:i:1:p:23-66

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

DOI: 10.1007/s00780-014-0243-x

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().