Coherent and convex monetary risk measures for bounded càdlàg processes

Publikationstyp: Zeitschriftenartikel
Publikationsstatus: Published
Autor/innen: Cheridito, Patrick; Delbaen, Freddy; Kupper, Michael
Erscheinungsjahr: 2004
Erschienen in: Stochastic Processes and their Applications ; 112 (2004), 1. - S. 1-22. - ISSN 0304-4149. - eISSN 1879-209X
DOI (zitierfähiger Link): https://dx.doi.org/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.
MSC-Klassifikation: 91B30; 60G07; 52A07; 46A55; 46A20
Fachgebiet (DDC): 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. 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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