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Risk measures for processes and BSDEs

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  • Irina Penner

    (CEREMADE)

  • Anthony Reveillac

    (CEREMADE)

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.

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  • Irina Penner & Anthony Reveillac, 2013. "Risk measures for processes and BSDEs," Papers 1304.4853, arXiv.org.
    • Handle: RePEc:arx:papers:1304.4853
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    References listed on IDEAS

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