Article Dans Une Revue Finance and Stochastics Année : 2014

Risk measures for processes and BSDEs

Résumé

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.

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hal-00814702 , version 1 (17-04-2013)

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Irina Penner, Anthony Réveillac. Risk measures for processes and BSDEs. Finance and Stochastics, 2014, 19 (1), pp.23-66. ⟨10.1007/s00780-014-0243-x⟩. ⟨hal-00814702⟩
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