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Paper detail

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.

preprint2013arXivOpen access
Irina PennerAnthony Reveillac
q-fin.RMmath.PR
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Irina PennerAnthony Reveillac

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