摘要翻译:
本文利用过程凸风险测度的概念,分析了连续时间内现金流的风险评估。通过结合可选测度的分解结果和有界\CD过程凸风险测度的对偶表示,我们证明了该框架提供了一种系统的方法来解决模型的模糊性和货币时间价值的不确定性问题。我们还在过程的风险度量和BSDE之间建立了联系。
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英文标题:
《Risk measures for processes and BSDEs》
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作者:
Irina Penner, Anthony Reveillac (CEREMADE)
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最新提交年份:
2013
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分类信息:
一级分类:Mathematics 数学
二级分类:Probability 概率
分类描述:Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用:例如中心极限定理,大偏差,随机微分方程,统计力学模型,排队论
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一级分类:Quantitative Finance 数量金融学
二级分类:Risk Management 风险管理
分类描述:Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要:
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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PDF链接:
https://arxiv.org/pdf/1304.4853