TY - GEN A1 - Acciaio, Beatrice A1 - Föllmer, Hans A1 - Penner, Irina T1 - Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles N2 - We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito, Delbaen, and Kupper (2006). These risk measures take into account not only the amounts but also the timing of a cash flow. We discuss their robust representation in terms of suitably penalized probability measures on the optional $\sigma$-field. This yields an explicit analysis both of model and discounting ambiguity. We focus on supermartingale criteria for time consistency. In particular we show how ``bubbles'' may appear in the dynamic penalization, and how they cause a breakdown of asymptotic safety of the risk assessment procedure. KW - Dynamic convex risk measures KW - Cash flows KW - Discounting ambiguity KW - Model ambiguity KW - Robust representation KW - Time consistency KW - Dynamic penalization KW - Asymptotic safety KW - Bubbles KW - Cash additivity KW - Cash subadditivity Y1 - 2010 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/714 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-7141 ER -