Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles

Zitieren Sie bitte immer diese URN:urn:nbn:de:0296-matheon-7141
  • 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.

Volltext Dateien herunterladen

Metadaten exportieren

Weitere Dienste

Teilen auf Twitter Suche bei Google Scholar
Metadaten
Verfasserangaben:Beatrice Acciaio, Hans Föllmer, Irina Penner
URN:urn:nbn:de:0296-matheon-7141
Gutachter*in:Dirk Becherer
Dokumentart:Preprint, Forschungszentrum Matheon
Sprache:Englisch
Datum der Erstveröffentlichung:23.09.2010
Datum der Freischaltung:23.09.2010
Freies Schlagwort / Tag:
Institut:Humboldt-Universität zu Berlin
MSC-Klassifikation:60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Gxx Stochastic processes / 60G35 Signal detection and filtering [See also 62M20, 93E10, 93E11, 94Axx]
91-XX GAME THEORY, ECONOMICS, SOCIAL AND BEHAVIORAL SCIENCES / 91Bxx Mathematical economics (For econometrics, see 62P20) / 91B16 Utility theory
91-XX GAME THEORY, ECONOMICS, SOCIAL AND BEHAVIORAL SCIENCES / 91Bxx Mathematical economics (For econometrics, see 62P20) / 91B30 Risk theory, insurance
Preprint-Nummer:724
Verstanden ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.