Coherent and convex monetary risk measures for bounded càdlàg processes

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 càdlàg 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.

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Year of publication:	2004
Authors:	Cheridito, Patrick ; Delbaen, Freddy ; Kupper, Michael
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 112.2004, 1, p. 1-22
Publisher:	Elsevier
Keywords:	Coherent risk measures Convex monetary risk measures Coherent utility functionals Concave monetary utility functionals Cadlag processes Representation theorem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874457