Publikation: Coherent and convex monetary risk measures for bounded càdlàg processes
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2004
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Stochastic Processes and their Applications. 2004, 112(1), pp. 1-22. ISSN 0304-4149. eISSN 1879-209X. Available under: doi: 10.1016/j.spa.2004.01.009
Zusammenfassung
If the random future evolution of values is modelled in continuous time, then a risk measure can be viewed as a functional on a space of continuous-time stochastic processes. We extend the notions of coherent and convex monetary risk measures to the space of bounded càdlàg processes that are adapted to a given filtration. Then, we prove representation results that generalize earlier results for one- and multi-period risk measures, and we discuss some examples.
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510 Mathematik
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CHERIDITO, Patrick, Freddy DELBAEN, Michael KUPPER, 2004. Coherent and convex monetary risk measures for bounded càdlàg processes. In: Stochastic Processes and their Applications. 2004, 112(1), pp. 1-22. ISSN 0304-4149. eISSN 1879-209X. Available under: doi: 10.1016/j.spa.2004.01.009BibTex
@article{Cheridito2004-07Coher-40947, year={2004}, doi={10.1016/j.spa.2004.01.009}, title={Coherent and convex monetary risk measures for bounded càdlàg processes}, number={1}, volume={112}, issn={0304-4149}, journal={Stochastic Processes and their Applications}, pages={1--22}, author={Cheridito, Patrick and Delbaen, Freddy and Kupper, Michael} }
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