Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions

DOI10.1007/S00780-021-00459-2zbMATH Open1470.91108OpenAlexW3176160019MaRDI QIDQ2049554FDOQ2049554

Authors Freddy Delbaen 

Publication date 27 August 2021

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.04522

zbMATH Keywords

time-consistencycommonotonicityatomless probability spaces

Mathematics Subject Classification ID

Utility theory (91B16) Actuarial science and mathematical finance (91G99)

Abstract: It is proved that commonotonicity and time consistence for monetary utility functions do not go together. I also gives additional results on atomless and conditionally atomless probability spaces.

Recommendations

• Membership conditions for consistent families of monetary valuations
• Time consistent dynamic risk processes
• Are time consistent valuations information monotone?
• Composition of time-consistent dynamic monetary risk measures in discrete time
• Time continuity and nonadditive expected utility

Cites work

• scientific article; zbMATH DE number 3727272 (Why is no real title available?)
• scientific article; zbMATH DE number 2046106 (Why is no real title available?)
• Axiomatic characterization of insurance prices
• CHOQUET INSURANCE PRICING: A CAVEAT
• Coherence and elicitability
• Coherent measures of risk
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• Distributional compatibility for change of measures
• Elicitable distortion risk measures: a concise proof
• Integral Representation Without Additivity
• Law-invariant functionals that collapse to the mean
• Representation results for law invariant time consistent functions
• Risk measures with the CxLS property
• Stationary Ordinal Utility and Impatience
• The Dual Theory of Choice under Risk

Cited in

(13)

• Scenario-based risk evaluation
• Membership conditions for consistent families of monetary valuations
• How superadditive can a risk measure be?
• Random distortion risk measures
• Seven proofs for the subadditivity of expected shortfall
• Risk aversion in regulatory capital principles
• Law-invariant functionals that collapse to the mean: beyond convexity
• Asymptotically stable dynamic risk assessments
• Scenario aggregation method for portfolio expectile optimization
• Convex functions on dual Orlicz spaces
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
• Monetary risk measures for stochastic processes via Orlicz duality
• Acceptability indices of performance for bounded càdlàg processes

This page was built for publication: Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2049554)