7 citations · 14 across the 5 of their papers we have counts for
6 papers
Modeling and Pricing Cyber Insurance -- Idiosyncratic, Systematic, and Systemic Risks
Kerstin Awiszus, Thomas Knispel, Irina Penner +3
The paper provides a comprehensive overview of modeling and pricing cyber insurance and includes clear and easily understandable explanations of the underlying mathematical concept…
Characterization of max-continuous local martingales vanishing at infinity
Beatrice Acciaio, Irina Penner
We provide a characterization of the family of non-negative local martingales that have continuous running supremum and vanish at infinity. This is done by describing the class of…
Risk measures for processes and BSDEs
Irina Penner, Anthony Reveillac
The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for processes. By combining a decomposition result for optional measur…
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…
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…
Hedging of claims with physical delivery under convex transaction costs
Teemu Pennanen, Irina Penner
We study superhedging of contingent claims with physical delivery in a discrete-time market model with convex transaction costs. Our model extends Kabanov's currency market model b…