Asymptotically stable dynamic risk assessments
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Publication:308416
DOI10.1515/STRM-2012-1146zbMATH Open1347.91168OpenAlexW3123592152MaRDI QIDQ308416FDOQ308416
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
Recommendations
asymptotic stabilitytime-consistencygeneratorslocal test probabilitiesrisk assessmentsrobust representation
Cites Work
- Coherent measures of risk
- Stochastic finance. An introduction in discrete time
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- Coherent and convex monetary risk measures for bounded càdlàg processes
- Coherent multiperiod risk adjusted values and Bellman's principle
- Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
- Monetary valuation of cash flows under Knightian uncertainty
- Composition of time-consistent dynamic monetary risk measures in discrete time
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
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- Multiperiod insurance supervision: top-down models
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