摘要翻译：
提出了一种新的风险度量方法&现金次加性风险度量，用于评估未来金融、非金融和保险头寸的风险。有争议的现金加性公理被放宽到现金子加性公理，以保留当前储备金数额和未来头寸之间的原始差额。因此，现金次加性风险度量可以模拟随机和/或模糊的利率或可拖欠的或有索赔。提出了实际例子，在这种情况下，不能使用现金附加风险措施。给出了现金次加性风险度量的几种表示形式。新的风险测度用定义在一组次线性概率测度上的罚函数来表征，并可以用定义在一些扩展空间上的现金加性风险测度相关的罚函数来表示。在新框架下，利用INF卷积技术研究了最优风险转移问题。通过BSDEs提供动态现金次加性风险度量的示例，其中生成器可以局部依赖于现金次加性风险度量的水平。
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英文标题：
《Cash Sub-additive Risk Measures and Interest Rate Ambiguity》
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作者：
Nicole El Karoui and Claudia Ravanelli
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub additive axiom to preserve the original difference between the numeraire of the current reserve amounts and future positions. Consequently, cash sub-additive risk measures can model stochastic and/or ambiguous interest rates or defaultable contingent claims. Practical examples are presented and in such contexts cash additive risk measures cannot be used. Several representations of the cash sub-additive risk measures are provided. The new risk measures are characterized by penalty functions defined on a set of sub-linear probability measures and can be represented using penalty functions associated with cash additive risk measures defined on some extended spaces. The issue of the optimal risk transfer is studied in the new framework using inf-convolution techniques. Examples of dynamic cash sub-additive risk measures are provided via BSDEs where the generator can locally depend on the level of the cash sub-additive risk measure.
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PDF链接：
https://arxiv.org/pdf/0710.4106