不确定现金流的风险评估：模型模糊性、贴现模糊性和泡沫的作用
Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
摘要：
我们研究了不确定现金流的风险评估，在Cheridito，Delbaen和Kupper（2006）中引入了动态凸风险度量。该等风险计量不仅考虑现金流量的金额，亦考虑现金流量的时间。我们讨论了他们的强大的表示在适当的惩罚概率措施的可选的西格玛字段。这产生了一个明确的分析模型和贴现模糊。我们专注于不同的时间一致性概念的上鞅准则。特别是，我们将展示如何泡沫可能出现在动态处罚，以及它们如何导致故障的风险评估程序的渐近安全。
英文摘要：
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 measures take into account not only the amounts but also the timing of a cash flow. We discuss their robust representation in terms of suitably penalized probability measures on the optional sigma-field. This yields an explicit analysis both of model and discounting ambiguity. We focus on supermartingale criteria for different notions of time consistency. In particular we show how bubbles may appear in the dynamic penalization, and how they cause a breakdown of asymptotic safety of the risk assessment procedure.
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