Dynamic Risk Measures
From MaRDI portal
Publication:5198554
DOI10.1007/978-3-642-18412-3_1zbMath1230.91065arXiv1002.3794MaRDI QIDQ5198554
Irina Penner, Beatrice Acciaio
Publication date: 8 August 2011
Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1002.3794
penalty function; time consistency; robust representation; entropic risk measure; dynamic convex risk measure
91B16: Utility theory
Related Items
Iterated VaR or CTE measures: A false good idea?, Tail VaR Measures in a Multi-period Setting, A supermartingale relation for multivariate risk measures, SHAREHOLDER RISK MEASURES, A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK, VECTOR-VALUED COHERENT RISK MEASURE PROCESSES, Time-consistent and market-consistent actuarial valuation of the participating pension contract, Scalar Multivariate Risk Measures with a Single Eligible Asset, Acceptability indices of performance for bounded càdlàg processes, Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach, Extended Laplace principle for empirical measures of a Markov chain, A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time, Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures, Spatial Risk Measures: Local Specification and Boundary Risk, A dynamic analytic method for risk-aware controlled martingale problems, Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning, Reinforcement learning with dynamic convex risk measures, A market- and time-consistent extension for the EIOPA risk-margin, Weakly time consistent concave valuations and their dual representations, Dynamic quasi concave performance measures, Multi-portfolio time consistency for set-valued convex and coherent risk measures, Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles, Time-consistent actuarial valuations, Spatial risk measures and applications to max-stable processes, Martingale problem under nonlinear expectations, A trade execution model under a composite dynamic coherent risk measure, Dynamically consistent investment under model uncertainty: the robust forward criteria, Conditional expectiles, time consistency and mixture convexity properties, Entropic value-at-risk: a new coherent risk measure, Risk arbitrage and hedging to acceptability under transaction costs, Fair dynamic valuation of insurance liabilities via convex hedging, Continuous-time limits of multi-period cost-of-capital margins, Time consistency for scalar multivariate risk measures, Monetary risk measures for stochastic processes via Orlicz duality, A central limit theorem for sets of probability measures, Acceptability maximization, Parameter-dependent stochastic optimal control in finite discrete time, Markov decision processes with recursive risk measures, Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency, Dynamic systemic risk measures for bounded discrete time processes, Pricing under dynamic risk measures, Law invariant risk measures and information divergences, A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective, Time-consistency of risk measures: how strong is such a property?, Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR, Dynamic assessment indices, DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE, Dynamic Limit Growth Indices in Discrete Time, Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds, A non-exponential extension of Sanov’s theorem via convex duality, Tight Approximations of Dynamic Risk Measures, Dynamic Conic Finance via Backward Stochastic Difference Equations
