Asymptotically stable dynamic risk assessments

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2016
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Eisele, Karl-Theodor
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Statistics & Risk Modeling. 2016, 33(1-2), pp. 41-50. ISSN 2193-1402. eISSN 2196-7040. Available under: doi: 10.1515/strm-2012-1146
Zusammenfassung

In this paper we study asymptotically stable risk assessments (or equivalently risk measures) which have the property that an unacceptable position cannot become acceptable by adding a huge cash-flow far in the future. Under an additional continuity assumption, these risk assessments are exactly those which have a robust representation in terms of test probabilities that are supported on a finite time interval. For time-consistent risk assessments we give conditions on their generators which guarantee asymptotic stability.

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510 Mathematik
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ISO 690EISELE, Karl-Theodor, Michael KUPPER, 2016. Asymptotically stable dynamic risk assessments. In: Statistics & Risk Modeling. 2016, 33(1-2), pp. 41-50. ISSN 2193-1402. eISSN 2196-7040. Available under: doi: 10.1515/strm-2012-1146
BibTex
@article{Eisele2016-01-01Asymp-40950,
  year={2016},
  doi={10.1515/strm-2012-1146},
  title={Asymptotically stable dynamic risk assessments},
  number={1-2},
  volume={33},
  issn={2193-1402},
  journal={Statistics & Risk Modeling},
  pages={41--50},
  author={Eisele, Karl-Theodor and Kupper, Michael}
}
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