6 citations · 6 across the 2 of their papers we have counts for
3 papers
math.PR2014
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…
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…