Coherent and convex monetary risk measures for bounded càdlàg processes
| Type of Publication: | Journal article |
| Publication status: | Published |
| Author: | Cheridito, Patrick; Delbaen, Freddy; Kupper, Michael |
| Year of publication: | 2004 |
| Published in: | Stochastic Processes and their Applications ; 112 (2004), 1. - pp. 1-22. - ISSN 0304-4149. - eISSN 1879-209X |
| DOI (citable link): | https://dx.doi.org/10.1016/j.spa.2004.01.009 |
| Summary: |
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.
|
| MSC Classification: | 91B30; 60G07; 52A07; 46A55; 46A20 |
| Subject (DDC): | 510 Mathematics |
Cite This
Files in this item
| Files | Size | Format | View |
|---|---|---|---|
|
There are no files associated with this item. |
|||
CHERIDITO, Patrick, Freddy DELBAEN, Michael KUPPER, 2004. Coherent and convex monetary risk measures for bounded càdlàg processes. In: Stochastic Processes and their Applications. 112(1), pp. 1-22. ISSN 0304-4149. eISSN 1879-209X. Available under: doi: 10.1016/j.spa.2004.01.009
@article{Cheridito2004-07Coher-40947, title={Coherent and convex monetary risk measures for bounded càdlàg processes}, year={2004}, doi={10.1016/j.spa.2004.01.009}, 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 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/rdf/resource/123456789/40947"> <dcterms:issued>2004-07</dcterms:issued> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <dc:contributor>Kupper, Michael</dc:contributor> <dc:contributor>Cheridito, Patrick</dc:contributor> <dc:creator>Delbaen, Freddy</dc:creator> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <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> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2017-12-15T13:14:24Z</dcterms:available> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2017-12-15T13:14:24Z</dc:date> <dc:creator>Kupper, Michael</dc:creator> <dcterms:title>Coherent and convex monetary risk measures for bounded càdlàg processes</dcterms:title> <dc:contributor>Delbaen, Freddy</dc:contributor> <dc:language>eng</dc:language> <dc:creator>Cheridito, Patrick</dc:creator> <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/40947"/> </rdf:Description> </rdf:RDF>
This item appears in the following Collection(s)
Search KOPS
Browse
My Account
