Coherent and convex monetary risk measures for bounded càdlàg processes
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| 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 |
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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. 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} }
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