Convex risk measures and the dynamics of their penalty functions

By Hans Föllmer, Irina Penner. 2006

222 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/eb579ed2223f6e0e5f17542204a9a8bc460abbd0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Jocelyne Bion-Nadal
2. T. Guo
3. Beatrice Acciaio
4. Irina Penner
5. Andrzej Ruszczynski
6. Frank Riedel
7. Michael Kupper
8. Damir Filipovi'c

In Finance

1. Andrzej Ruszczynski
2. Jocelyne Bion-Nadal
3. Darinka Dentcheva †
4. Alexander Shapiro
5. Irina Penner
6. Beatrice Acciaio
7. T. Guo
8. Frank Riedel

In Management Science and Operations Research

1. Andrzej Ruszczynski
2. Alexander Shapiro
3. Darinka Dentcheva †
4. T. Guo
5. Jocelyne Bion-Nadal
6. Irina Penner
7. Beatrice Acciaio
8. A. Jobert

Citations in the corpus

• Time consistent dynamic risk processes (2009, methodology): “Convex dynamic risk measures have been the subject of recent works; see Riedel [26], Frittelli and Rosazza Gianin [18], Klöppel and Schweizer [20], Cheredito et al. [7], Bion-Nadal [5] and Föllmer and Penner [16].”
• Optimal Stopping With Multiple Priors (2009, background): “Recent work also shows that one might generalize our results to the more general class of dynamic variational preferences (Maccheroni, Marinacci, and Rustichini (2006)) or convex risk measures (Föllmer and Penner (2007)).”
• Lectures on Stochastic Programming: Modeling and Theory (2009, background): “In the finance literature time consistency is usually defined via the composition property of dynamic risk measures; see, Artzner, Delbaen, Eber, Heath and Ku [9], BionNadal [20, 21], Cheridito, Delbaen and Kupper [38], Cheridito and Kupper [39], Föllmer and Penner [79], Frittelli and Scandolo [81],”
• Risk-averse dynamic programming for Markov decision processes (2010, background): “Much work on dynamic measures of risk focused on the case when we have just one final cost ZT and we are evaluating it from the perspective of earlier stages t ; see, inter alia [14,18,28,48].”
• Separation and duality in locally L 0 -convex modules (2009, background): “The restriction ρt to bounded risks, that is L∞(F ), has been analyzed in [2,5,7,9].”
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES (2007, background): “Klöppel & Schweizer [29], Cheridito & Kupper [8], Föllmer & Penner [19].”
• Dynamic risk measures (2010, background): “In this section we mainly summarize the results from [17, 20, 8].”
• Recent progress in random metric theory and its applications to conditional risk measures (2010, methodology): “The following dual representation proposition was proved by Detlefsen and Scandolo in [11] , see [4] for dual representation under a stronger assumption that f is continuous from below and [18] for other possible forms of dual representation.”