14 citations · 14 across the 1 of their papers we have counts for
2 papers
math.PR2010★ 14 cited
Dynamic risk measuring under model uncertainty: taking advantage of the hidden probability measure
Jocelyne Bion-Nadal, Magali Kervarec
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence cla…
q-fin.RM2010
Risk measuring under model uncertainty
Jocelyne Bion-Nadal, Magali Kervarec
The framework of this paper is that of risk measuring under uncertainty, which is when no reference probability measure is given. To every regular convex risk measure on ${\cal C}_…