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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.
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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
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