Dynamic assessment indices

DOI10.1080/17442508.2015.1026346zbMATH Open1414.91420arXiv1306.5198OpenAlexW2116421056MaRDI QIDQ2803410FDOQ2803410

Authors: Tomasz R. Bielecki, Igor Cialenco, Samuel Drapeau, Martin Karliczek 

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Abstract: This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, and which allows us to significantly generalize existing results is the theory of $L^0$-modules. In the first part of the paper we develop the general theory and provide a robust representation of conditional assessment indices, and in the second part we apply this theory to dynamic acceptability indices acting on stochastic processes.

Full work available at URL: https://arxiv.org/abs/1306.5198

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zbMATH Keywords

certainty equivalentdynamic risk measuresstrong time consistencydynamic acceptability indexassessment indicesdynamic GLRdynamic measures of performance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

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Cited In (17)

• Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
• Conditional preference orders and their numerical representations
• Star-shaped acceptability indexes
• Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
• The algebra of conditional sets and the concepts of conditional topology and compactness
• Estimating and backtesting risk under heavy tails
• A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
• A Boolean valued analysis approach to conditional risk
• Reinforcement learning with dynamic convex risk measures
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
• Acceptability maximization
• Acceptability indexes for portfolio vectors
• Dynamic conic finance via backward stochastic difference equations
• A dynamic model of central counterparty risk
• Parameter-dependent stochastic optimal control in finite discrete time
• Measures and integrals in conditional set theory
• Acceptability indices of performance for bounded càdlàg processes

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