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Finance and Stochastics

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01-01-2015

Risk measures for processes and BSDEs

Authors: Irina Penner, Anthony Réveillac

Published in: Finance and Stochastics | Issue 1/2015

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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.

previous article Existence of an endogenously complete equilibrium driven by a diffusion

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Title: Risk measures for processes and BSDEs
Authors: Irina Penner
Anthony Réveillac
Publication date: 01-01-2015
Publisher: Springer Berlin Heidelberg
Published in: Finance and Stochastics / Issue 1/2015
Print ISSN: 0949-2984
Electronic ISSN: 1432-1122
DOI: https://doi.org/10.1007/s00780-014-0243-x

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