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Risk measures for processes and BSDEs

Author

Listed:
  • Irina Penner

    (Institut für Mathematik [Berlin] - TUB - Technical University of Berlin / Technische Universität Berlin)

  • Anthony Réveillac

    (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique, INSA Toulouse - Institut National des Sciences Appliquées - Toulouse - INSA - Institut National des Sciences Appliquées - UT - Université de Toulouse, IMT - Institut de Mathématiques de Toulouse UMR5219 - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - INSA Toulouse - Institut National des Sciences Appliquées - Toulouse - INSA - Institut National des Sciences Appliquées - UT - Université de Toulouse - UT2J - Université Toulouse - Jean Jaurès - UT - Université de Toulouse - UT3 - Université Toulouse III - Paul Sabatier - UT - Université de Toulouse - CNRS - Centre National de la Recherche Scientifique, UT - Université de Toulouse)

Abstract

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.

Suggested Citation

  • Irina Penner & Anthony Réveillac, 2014. "Risk measures for processes and BSDEs," Post-Print hal-00814702, HAL.
    • Handle: RePEc:hal:journl:hal-00814702
    DOI: 10.1007/s00780-014-0243-x
    Note: View the original document on HAL open archive server: https://hal.science/hal-00814702v1
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    References listed on IDEAS

    as
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