Coherent and convex monetary risk measures for bounded cadlag processes

被引：71

作者：

Cheridito, P

Delbaen, F

Kupper, M ^{[1
]}

机构：

[1] ETH, Dept Math, CH-8092 Zurich, Switzerland

[2] Princeton Univ, ORFE, Princeton, NJ 08544 USA

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2004年 / 112卷 / 01期

关键词：

coherent risk measures; convex monetary risk measures; coherent utility functionals; concave monetary utility functionals; cadlag processes; representation theorem;

D O I：

10.1016/j.spa.2004.01.009

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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 cadlag 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. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：1 / 22

页数：22

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