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

Content Provider	Springer Nature Link
Author	Acciaio, Beatrice Penner, Irina Föllmer, Hans
Copyright Year	2012
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.
Ending Page	709
Page Count	41
Starting Page	669
File Format	PDF
ISSN	09492984
e-ISSN	14321122
Journal	Finance and Stochastics
Issue Number	4
Volume Number	16
Language	English
Publisher	Springer-Verlag
Publisher Date	2012-04-04
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Model ambiguity Finance/Investment/Banking Time consistency Cash subadditivity Risk theory, insurance Signal detection and filtering Dynamic convex risk measures Asymptotic safety Probability Theory and Stochastic Processes Quantitative Finance Dynamic penalisation Bubbles Utility theory Statistics for Business/Economics/Mathematical Finance/Insurance Cash flows Robust representation Economic Theory Discounting ambiguity
Content Type	Text
Resource Type	Article
Subject	Finance Statistics and Probability Statistics, Probability and Uncertainty

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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

Risk measures for processes and BSDEs

Conditional and dynamic convex risk measures

Multi-portfolio time consistency for set-valued convex and coherent risk measures

Beyond cash-additive risk measures: when changing the numéraire fails

Investment under ambiguity with the best and worst in mind

A note on utility based pricing and asymptotic risk diversification

Optimal investments for risk- and ambiguity-averse preferences: a duality approach

Recursiveness of indifference prices and translation-invariant preferences

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

Similar Documents

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

Risk measures for processes and BSDEs

Conditional and dynamic convex risk measures

Multi-portfolio time consistency for set-valued convex and coherent risk measures

Beyond cash-additive risk measures: when changing the numéraire fails

Investment under ambiguity with the best and worst in mind

A note on utility based pricing and asymptotic risk diversification

Optimal investments for risk- and ambiguity-averse preferences: a duality approach

Recursiveness of indifference prices and translation-invariant preferences

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