We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles.
- Authors
Acciaio, Beatrice; Föllmer, Hans; Penner, Irina
- Abstract
We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito et al. (Electron. J. Probab. 11(3):57-106, ). 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 penalised probability measures on the optional σ-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 penalisation, and how they cause a breakdown of asymptotic safety of the risk assessment procedure.
- Subjects
RISK assessment; CASH flow; UNCERTAINTY (Information theory); PROBABILITY theory; ROBUST control; CORPORATE finance
- Publication
Finance & Stochastics, 2012, Vol 16, Issue 4, p669
- ISSN
0949-2984
- Publication type
Article
- DOI
10.1007/s00780-012-0176-1