摘要翻译：
根据Cheridito、Delbaen和Kupper(2006)中引入的过程的动态凸风险度量，我们研究了不确定现金流的风险评估。这些风险度量不仅考虑到现金流的金额，还考虑到现金流的时间。在可选的sigma域上，我们用适当惩罚概率测度讨论了它们的鲁棒表示。这就产生了对模型和贴现歧义的明确分析。我们关注不同时间一致性概念的上鞅准则。特别地，我们展示了在动态惩罚中如何出现泡沫，以及它们如何导致风险评估程序的渐近安全性崩溃。
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英文标题：
《Risk assessment for uncertain cash flows: Model ambiguity, discounting
  ambiguity, and the role of bubbles》
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作者：
Beatrice Acciaio, Hans Foellmer, Irina Penner
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最新提交年份：
2010
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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：
  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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PDF链接：
https://arxiv.org/pdf/1002.3627