Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles-Reference-Cited by-同舟云学术

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

Published:2012-04-04 Issue:4 Volume:16 Page:669-709
ISSN:0949-2984
Container-title:Finance and Stochastics
language:en
Short-container-title:Finance Stoch

Author:

Acciaio Beatrice,Föllmer Hans,Penner Irina

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s00780-012-0176-1.pdf

Reference40 articles.

1. Acciaio, B., Penner, I.: Dynamic risk measures. In: Di Nunno, G., Øksendal, B. (eds.) Advanced Mathematical Methods for Finance, pp 1–34. Springer, Berlin (2011), Chap. 1

2. Artzner, P., Delbaen, F., Eber, J.-M., Heath, D.: Thinking coherently. Risk 10 (November), 68–71 (1997)

3. Artzner, P., Delbaen, F., Eber, J.-M., Heath, D.: Coherent measures of risk. Math. Finance 9, 203–228 (1999)

4. Artzner, P., Delbaen, F., Eber, J.-M., Heath, D., Ku, H.: Coherent multiperiod risk adjusted values and Bellman’s principle. Ann. Oper. Res. 152, 5–22 (2007)

5. Bion-Nadal, J.: Conditional risk measure and robust representation of convex conditional risk measures. CMAP preprint 557, Ecole Polytechnique Palaiseau (2004). http://www.cmap.polytechnique.fr/preprint/repository/557.pdf

Cited by 33 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Uncertainty Propagation and Dynamic Robust Risk Measures;Mathematics of Operations Research;2024-08-09

2. Dynamic risk measures via backward doubly stochastic Volterra integral equations with jumps;Communications in Statistics - Theory and Methods;2023-04-27

3. MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES;International Journal of Theoretical and Applied Finance;2022-06

4. Set-valued dynamic risk measures for processes and for vectors;Finance and Stochastics;2022-04-29

5. Acceptability maximization;Frontiers of Mathematical Finance;2022