Risk measures for processes and BSDEs
Probability
2013-04-18 v1 Risk Management
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
Cite
@article{arxiv.1304.4853,
title = {Risk measures for processes and BSDEs},
author = {Irina Penner and Anthony Reveillac},
journal= {arXiv preprint arXiv:1304.4853},
year = {2013}
}