Time consistency conditions for acceptability measures, with an application to tail value at risk
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Publication:995498
DOI10.1016/J.INSMATHECO.2006.04.003zbMATH Open1141.91547OpenAlexW2098799539MaRDI QIDQ995498FDOQ995498
Authors: Berend Roorda, Johannes M. Schumacher 
Publication date: 3 September 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://research.utwente.nl/en/publications/time-consistency-conditions-for-acceptability-measures-with-an-application-to-tail-value-at-risk(aff0008a-2492-4ad2-b2fc-f3f0fa81640c).html
Recommendations
incomplete marketsnonlinear expectationstime consistencycoherent risk measurescapital requirementsacceptability measures
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Cited In (32)
- Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
- Weakly time consistent concave valuations and their dual representations
- A representation of risk measures
- Peril, prudence and planning as risk, avoidance and worry
- Time consistency and information monotonicity of multiperiod acceptability functionals
- Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
- Tight approximations of dynamic risk measures
- Tail VaR measures in a multi-period setting
- Conditional systemic risk measures
- Optimal investment policy in the time consistent mean-variance formulation
- Time (in)consistency of multistage distributionally robust inventory models with moment constraints
- Structure of risk-averse multistage stochastic programs
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- Risk measuring under model uncertainty
- On a time consistency concept in risk averse multistage stochastic programming
- Time consistency of multi-period distortion measures
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- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
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- Membership conditions for consistent families of monetary valuations
- Law invariant risk measures and information divergences
- Scalar multivariate risk measures with a single eligible asset
- Update rules for convex risk measures
- Time consistent policy of multi-period mean-variance
- Are time consistent valuations information monotone?
- Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Time-coherent risk measures for continuous-time Markov chains
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
- Conditional expectiles, time consistency and mixture convexity properties
- An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree
- Conditional risk and acceptability mappings as Banach-lattice valued mappings
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