2010/04/30 by Jocelyne Bion-Nadal, Bion-Nadal, Jocelyne, Magali Kervarec +1
Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Risk Management (q-fin.RM) #math.PR #q-fin.RM
paper · pdf · doi:10.48550/arxiv.1004.5524
arxiv created 2010/12/28 · arxiv updated 2015/03/16
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 \cal Cb(Ω), we associate a unique equivalence class of probability measures on Borel sets, characterizing the riskless non positive elements of \cal Cb(Ω). 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 L1(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(|f|)=0 iff \E(|f|)=0. We also apply our results to the case of uncertain volatility.