Risk measures for processes and BSDEs

Irina Penner and Anthony Reveillac
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Irina Penner: CEREMADE
Anthony Reveillac: CEREMADE

Papers from arXiv.org

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.

Date: 2013-04
New Economics Papers: this item is included in nep-rmg and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1304.4853

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