Asymptotically stable dynamic risk assessments

DOI10.1515/STRM-2012-1146zbMath1347.91168OpenAlexW3123592152MaRDI QIDQ308416

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 stabilitygeneratorstime-consistencylocal test probabilitiesrisk assessmentsrobust representation

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Multiperiod insurance supervision: top-down models
• Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
• Dynamic monetary risk measures for bounded discrete-time processes
• Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
• Coherent multiperiod risk adjusted values and Bellman's principle
• Coherent and convex monetary risk measures for bounded càdlàg processes
• Coherent Measures of Risk
• 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
• Stochastic finance. An introduction in discrete time

This page was built for publication: Asymptotically stable dynamic risk assessments