6 citations · 6 across the 2 of their papers we have counts for
2 papers
q-fin.RM2010
Dynamic risk measures
Beatrice Acciaio, Irina Penner
This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional…
q-fin.RM2010★ 6 cited
Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
Beatrice Acciaio, Hans Foellmer, Irina Penner
We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito, Delbaen, and Kupper (2006). These risk measu…