Dynamic risk measures under model uncertainty

DOI10.1007/s11857-008-0062-2zbMath1293.91100OpenAlexW2083816489MaRDI QIDQ2511475

André Mundt

Publication date: 5 August 2014

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11857-008-0062-2

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Markov and semi-Markov decision processes (90C40)

Uses Software

• QRM

Cites Work

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• Measures of risk
• Dynamic coherent risk measures
• Measuring risk for income streams
• Coherent Measures of Risk
• Bayesian dynamic programming

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