Dynamic risk measures

By Beatrice Acciaio, Irina Penner. 2010

135 citations recorded by the source corpus.

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.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b8e8d66af109351fefcaf9c8608f434482127a71

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In Demography

1. Ilya S. Molchanov
2. Ignacio Cascos

In Economics and Econometrics

1. Ilya S. Molchanov
2. Ignacio Cascos

In Management Science and Operations Research

1. Ignacio Cascos
2. Ilya S. Molchanov
3. Mathew D. Penrose
4. Scott Ferson
5. Alfred Galichon
6. William Oberkampf
7. Marc Henry
8. Julien Bect

Citations in the corpus

• MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS (2013, background): “DOI: 10.1111/mafi.12078 C© 2014 Wiley Periodicals, Inc. 867 Embrechts (2005) for a thorough treatment of univariate risk measures and to Acciaio and Penner (2011) for a recent survey of the dynamic univariate setting.”