Time consistency conditions for acceptability measures, with an application to tail value at risk (Q995498): Difference between revisions

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-Johannes M. Schumacher
@@ Property / author: Johannes M. Schumacher / rank @@
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+Coherent Measures of Risk
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+Coherent multiperiod risk adjusted values and Bellman's principle
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+Filtration-consistent nonlinear expectations and related \(g\)-expectations
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+Economic Capital Allocation Derived from Risk Measures
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+CEU preferences and dynamic consistency
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+Recursive multiple-priors.
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+RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
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+Convex measures of risk and trading constraints
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+Stochastic finance. An introduction in discrete time
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+Robust Statistics
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+Coherent risk measures and good-deal bounds
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+Risk measures and insurance premium principles.
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+Dynamic coherent risk measures
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+COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
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+Axiomatic characterization of insurance prices
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+Conditional preferences and updating.
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+DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
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+Anxiety and decision making with delayed resolution of uncertainty
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+Publication:995498