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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.

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Metadaten
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
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