Information and dynamic coherent risk measures

MaRDI QIDQ995406zbMATH OpenFDO

Authors Wencai Chen, Dewen Xiong, Zhongxing Ye

Publication date 3 September 2007

Published in Indian Journal of Pure \& Applied Mathematics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Stopping times; optimal stopping problems; gambling theory (60G40) Renewal theory (60K05)

Recommendations

• Dynamic coherent risk measures
• Dynamic risk measures
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• scientific article; zbMATH DE number 2171635
• Coherent risk measures defined on cash flows

Cited in

(10)

• Relevant coherent measures of risk
• Applied Economic Analysis of Information and Risk
• Coherent risk measures defined on cash flows
• Asymptotically stable dynamic risk assessments
• On representing and hedging claims for coherent risk measures
• Dynamic coherent acceptability indices and their applications to finance
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• Coherent multiperiod risk adjusted values and Bellman's principle
• Randomized stopping times and coherent multiperiod risk measures
• Dynamic coherent risk measures

This page was built for publication: Information and dynamic coherent risk measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q995406)