Asymptotically stable dynamic risk assessments

DOI10.1515/STRM-2012-1146MaRDI QIDQ308416zbMATH OpenOpenAlexFDO

Authors Karl-Theodor Eisele, Michael Kupper

Publication date 6 September 2016

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL http://ifs.u-strasbg.fr/large/publications/2013/2013-04.pdf

zbMATH Keywords

asymptotic stabilitytime-consistencygeneratorslocal test probabilitiesrisk assessmentsrobust representation

Mathematics Subject Classification ID

Utility theory (91B16) Limit theorems in probability theory (60F99)

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Cites work

• scientific article; zbMATH DE number 193011 (Why is no real title available?)
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• Coherent and convex monetary risk measures for bounded càdlàg processes
• Coherent measures of risk
• Coherent multiperiod risk adjusted values and Bellman's principle
• Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
• Composition of time-consistent dynamic monetary risk measures in discrete time
• Dynamic monetary risk measures for bounded discrete-time processes
• Monetary valuation of cash flows under Knightian uncertainty
• Multiperiod insurance supervision: top-down models
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
• Stochastic finance. An introduction in discrete time
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES

Cited in

(3)

• Stable modeling of value at risk
• Adaptive risk assessments
• A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes

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