Risk measures for processes and BSDEs

Irina Penner () and Anthony Réveillac ()
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Irina Penner: Institut für Mathematik [Berlin] - TUB - Technical University of Berlin / Technische Universität Berlin
Anthony Réveillac: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique, INSA Toulouse - Institut National des Sciences Appliquées - Toulouse - INSA - Institut National des Sciences Appliquées - UT - Université de Toulouse, IMT - Institut de Mathématiques de Toulouse UMR5219 - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - INSA Toulouse - Institut National des Sciences Appliquées - Toulouse - INSA - Institut National des Sciences Appliquées - UT - Université de Toulouse - UT2J - Université Toulouse - Jean Jaurès - UT - Université de Toulouse - UT3 - Université Toulouse III - Paul Sabatier - UT - Université de Toulouse - CNRS - Centre National de la Recherche Scientifique, UT - Université de Toulouse

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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.

Keywords: Convex risk measures for processes; Discounting ambiguity; Model ambiguity; Cash subadditivity; Decomposition of optional measures; BSDEs (search for similar items in EconPapers)
Date: 2014-09-17
Note: View the original document on HAL open archive server: https://hal.science/hal-00814702v1
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Published in Finance and Stochastics, 2014, 19 (1), pp.23-66. ⟨10.1007/s00780-014-0243-x⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00814702

DOI: 10.1007/s00780-014-0243-x

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