RISK MEASURING UNDER MODEL UNCERTAINTY

• 成果类型: Article
• 署名作者: Bion-Nadal, Jocelyne; Kervarec, Magali
• 署名单位: Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Institut Polytechnique de Paris; Ecole Polytechnique; Universite Paris Saclay
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/11-AAP766
• 发表日期: 2012
• 页码: 213-238
• 关键词: g-brownian motion; stochastic calculus

摘要

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 C-b(Omega), we associate a unique equivalence class of probability measures on Borel sets, characterizing the riskless nonpositive elements of C-b(Omega). We prove that the convex risk measure has a dual representation with a countable set of probability measures absolutely continuous with respect to a certain probability measure in this class. To get these results we study the topological properties of the dual of the Banach space L-1(c) associated to a capacity c. As application, we obtain that every G-expectation E has a representation with a countable set of probability measures absolutely continuous with respect to a probability measure P such that P(vertical bar f vertical bar) = 0 if and only iff E(vertical bar f vertical bar) = 0. We also apply our results to the case of uncertain volatility.