Risk measures for processes and BSDEs
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.
Year of publication: |
2013-04
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Authors: | Penner, Irina ; Reveillac, Anthony |
Institutions: | arXiv.org |
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