Publikation:

Coherent and convex monetary risk measures for bounded càdlàg processes

Lade...
Vorschaubild

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2004

Autor:innen

Cheridito, Patrick
Delbaen, Freddy

Herausgeber:innen

Kontakt

ISSN der Zeitschrift

Electronic ISSN

ISBN

Bibliografische Daten

Verlag

Schriftenreihe

Auflagebezeichnung

URI (zitierfähiger Link)
ArXiv-ID

Internationale Patentnummer

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published

Erschienen 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.2004.01.009

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.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
510 Mathematik

Schlagwörter

Konferenz

Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Zugehörige Datensätze in KOPS

Zitieren

ISO 690CHERIDITO, 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.2004.01.009
BibTex
@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}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/40947">
    <dc:language>eng</dc:language>
    <dc:contributor>Delbaen, Freddy</dc:contributor>
    <dc:contributor>Cheridito, Patrick</dc:contributor>
    <dc:creator>Cheridito, Patrick</dc:creator>
    <dc:creator>Delbaen, Freddy</dc:creator>
    <dcterms:title>Coherent and convex monetary risk measures for bounded càdlàg processes</dcterms:title>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2017-12-15T13:14:24Z</dcterms:available>
    <dcterms:abstract xml:lang="eng">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.</dcterms:abstract>
    <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/40947"/>
    <dcterms:issued>2004-07</dcterms:issued>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2017-12-15T13:14:24Z</dc:date>
    <dc:creator>Kupper, Michael</dc:creator>
    <dc:contributor>Kupper, Michael</dc:contributor>
  </rdf:Description>
</rdf:RDF>

Interner Vermerk

xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter

Kontakt
URL der Originalveröffentl.

Prüfdatum der URL

Prüfungsdatum der Dissertation

Finanzierungsart

Kommentar zur Publikation

Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Nein
Begutachtet
Diese Publikation teilen