Asymptotically stable dynamic risk assessments
| dc.contributor.author | Eisele, Karl-Theodor | |
| dc.contributor.author | Kupper, Michael | |
| dc.date.accessioned | 2017-12-15T13:21:53Z | |
| dc.date.available | 2017-12-15T13:21:53Z | |
| dc.date.issued | 2016-01-01 | eng |
| dc.description.abstract | 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. | eng |
| dc.description.version | published | eng |
| dc.identifier.doi | 10.1515/strm-2012-1146 | eng |
| dc.identifier.uri | https://kops.uni-konstanz.de/handle/123456789/40950 | |
| dc.language.iso | eng | eng |
| dc.subject.ddc | 510 | eng |
| dc.title | Asymptotically stable dynamic risk assessments | eng |
| dc.type | JOURNAL_ARTICLE | eng |
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| kops.citation.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}
} | |
| kops.citation.iso690 | EISELE, 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 | deu |
| kops.citation.iso690 | EISELE, 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 | eng |
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