9 citations · 14 across the 16 of their papers we have counts for
7 papers · 1 filter
Risk Measures under Paired-Ambiguity: A Deep Learning Reflected BSDE Framework
Nacira Agram, Jan Rems, Emanuela Rosazza Gianin
We study optimal stopping under dynamic risk measures with simultaneous ambiguity in the probability model and the discount rate. We introduce a paired ambiguity framework combinin…
Robust quasi-convex risk measures and applications
Francesca Centrone, Asmerilda Hitaj, Elisa Mastrogiacomo +1
This paper develops a unified framework for the robustification of risk measures beyond the classical convex and cash-additive setting. We consider general risk measures on Lp spac…
Cash non-additive risk measures: horizon risk and generalized entropy
Giulia Di Nunno, Emanuela Rosazza Gianin
Horizon risk (see arXiv:2301.04971) is studied in the context of cash non-additive fully-dynamic risk measures induced by BSDEs. Furthermore, we introduce a risk measure based on g…
Dynamic Return and Star-Shaped Risk Measures via BSDEs
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
This paper establishes characterization results for dynamic return and star-shaped risk measures induced via backward stochastic differential equations (BSDEs). We first characteri…
Quasi-Logconvex Measures of Risk
Roger J. A. Laeven, Emanuela Rosazza Gianin
This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the rich class of quasi-convex measures of risk. Q…
Risk measures and progressive enlargement of filtration: a BSDE approach
Alessandro Calvia, Emanuela Rosazza Gianin
We consider dynamic risk measures induced by Backward Stochastic Differential Equations (BSDEs) in enlargement of filtration setting. On a fixed probability space, we are given a s…
Time-consistency of cash-subadditive risk measures
Elisa Mastrogiacomo, Emanuela Rosazza Gianin
The main goal of this paper is to investigate under which conditions cash-subadditive convex dynamic risk measures are time-consistent. Proceeding as in Detlefsen and Scandolo \cit…