Search Results - subject:"Cash-subadditivity"

Indifference pricing with uncertainty averse preferences

Giammarino, Flavia; Barrieu, Pauline - Volkswirtschaftliche Fakultät, … - 2011

We consider the indifference valuation of an uncertain monetary payoff from the perspective of an uncertainty averse decision maker. We study how the indifference valuation depends on the decision maker’s attitudes toward uncertainty. We obtain a characterization of comparative uncertainty...

Persistent link: https://www.econbiz.de/10011261061

Risk Measures: Rationality and Diversification

Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, … - Collegio Carlo Alberto, Università degli Studi di Torino - 2008

bonds) the cash- additivity assumption on risk measures becomes problematic. When this assumption is weakened, to cash-subadditivity …

Persistent link: https://www.econbiz.de/10005013923

Risk measures for processes and BSDEs

Penner, Irina; Reveillac, Anthony - HAL - 2013

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...

Persistent link: https://www.econbiz.de/10010638975

Indifference pricing with uncertainty averse preferences

Giammarino, Flavia; Barrieu, Pauline - In: Journal of Mathematical Economics 49 (2013) 1, pp. 22-27

Persistent link: https://www.econbiz.de/10010608647

Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles

Acciaio, Beatrice; Föllmer, Hans; Penner, Irina - London School of Economics (LSE) - 2012

We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito et al. (Electron. J. Probab. 11(3):57–106, 2006). These risk measures take into account not only the amounts but also the timing of a cash flow. We discuss...

Persistent link: https://www.econbiz.de/10011071088

Risk measures for processes and BSDEs

Réveillac, Anthony; Penner, Irina - Université Paris-Dauphine (Paris IX) - 2015

Persistent link: https://www.econbiz.de/10011115221

Risk measures for processes and BSDEs

Penner, Irina; Réveillac, Anthony - In: Finance and Stochastics 19 (2015) 1, pp. 23-66

<Para ID="Par1">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...</para>

Persistent link: https://www.econbiz.de/10011151668

Risk measures for processes and BSDEs

Penner, Irina; Réveillac, Anthony - In: Finance and stochastics 19 (2015) 1, pp. 23-66

Persistent link: https://www.econbiz.de/10011417006

Beyond cash-additive risk measures: when changing the numéraire fails

Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo - In: Finance and Stochastics 18 (2014) 1, pp. 145-173

measures on Orlicz spaces. We pay special attention to the property of cash subadditivity, which has been recently proposed as … cash subadditivity and show that when the eligible asset is a defaultable bond, cash subadditivity is the exception rather … no longer linear. We establish when the resulting risk measures are quasiconvex and show that cash subadditivity is only …

Persistent link: https://www.econbiz.de/10010997040

Beyond cash-additive risk measures : when changing the numéraire fails

Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - In: Finance and stochastics 18 (2014) 1, pp. 145-173

Persistent link: https://www.econbiz.de/10010235455