Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles |
| |
Authors: | Beatrice Acciaio Hans F?llmer Irina Penner |
| |
Affiliation: | 1. Department of Economics, Finance and Statistics, University of Perugia, Via A. Pascoli 20, 06123, Perugia, Italy 2. Institut für Mathematik, Humboldt-Universit?t zu Berlin, Unter den Linden 6, 10099, Berlin, Germany
|
| |
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, 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 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. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|