Information and dynamic coherent risk measures

zbMATH Open1231.60090MaRDI QIDQ995406FDOQ995406

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)

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Mathematics Subject Classification ID

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

Cited In (10)

• Applied Economic Analysis of Information and Risk
• Relevant coherent measures of 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

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