Aufgrund von Vorbereitungen auf eine neue Version von KOPS, können kommenden Montag und Dienstag keine Publikationen eingereicht werden. (Due to preparations for a new version of KOPS, no publications can be submitted next Monday and Tuesday.)

Asymptotically stable dynamic risk assessments

Cite This

Files in this item

Files Size Format View

There are no files associated with this item.

EISELE, Karl-Theodor, Michael KUPPER, 2016. Asymptotically stable dynamic risk assessments. In: Statistics & Risk Modeling. 33(1-2), pp. 41-50. ISSN 2193-1402. eISSN 2196-7040. Available under: doi: 10.1515/strm-2012-1146

@article{Eisele2016-01-01Asymp-40950, title={Asymptotically stable dynamic risk assessments}, year={2016}, doi={10.1515/strm-2012-1146}, number={1-2}, volume={33}, issn={2193-1402}, journal={Statistics & Risk Modeling}, pages={41--50}, author={Eisele, Karl-Theodor and Kupper, Michael} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dc:contributor>Eisele, Karl-Theodor</dc:contributor> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dc:creator>Kupper, Michael</dc:creator> <dcterms:abstract xml:lang="eng">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.</dcterms:abstract> <dc:contributor>Kupper, Michael</dc:contributor> <dc:language>eng</dc:language> <dcterms:available rdf:datatype="">2017-12-15T13:21:53Z</dcterms:available> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:creator>Eisele, Karl-Theodor</dc:creator> <dcterms:isPartOf rdf:resource=""/> <dspace:isPartOfCollection rdf:resource=""/> <dcterms:title>Asymptotically stable dynamic risk assessments</dcterms:title> <dcterms:issued>2016-01-01</dcterms:issued> <dc:date rdf:datatype="">2017-12-15T13:21:53Z</dc:date> <bibo:uri rdf:resource=""/> </rdf:Description> </rdf:RDF>

This item appears in the following Collection(s)

Search KOPS


My Account