Dynamic risk measures
Please always quote using this URN:urn:nbn:de:0296-matheon-7156
- This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures, and we characterize various time consistency properties of dynamic risk measures in terms of acceptance sets, penalty functions, and by supermartingale properties of risk processes and penalty functions.
Author: | Beatrice Acciaio, Irina Penner |
---|---|
URN: | urn:nbn:de:0296-matheon-7156 |
Referee: | Dirk Becherer |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2010/09/23 |
Release Date: | 2010/09/23 |
Institute: | Humboldt-Universität zu Berlin |
Preprint Number: | 723 |