Risk measures for processes and BSDEs

Irina Penner (1) , Anthony Réveillac (2)

1 Institut für Mathematik [Berlin]
2 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

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.

Mots clés: Convex risk measures for processes; Discounting ambiguity; Model ambiguity; Cash subadditivity; Decomposition of optional measures; BSDEs

Domaines: Probabilités [math.PR]; Gestion des risques [q-fin.RM]

Irina Penner, Anthony Réveillac. Risk measures for processes and BSDEs. 2013. ⟨hal-00814702⟩