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Update rules for convex risk measures
[Zeitschriftenartikel]
Abstract In the first part of the paper we investigate properties that describe the intertemporal structure of dynamic convex risk measures. The usual backward approach to dynamic risk assessment leads to strong and weak versions of time consistency. As an alternative, we introduce a forward approach of cons... mehr
In the first part of the paper we investigate properties that describe the intertemporal structure of dynamic convex risk measures. The usual backward approach to dynamic risk assessment leads to strong and weak versions of time consistency. As an alternative, we introduce a forward approach of consecutivity.
In the second part we discuss the problem of how to update a convex risk measure when new information arrives. We analyse to what extent the above properties are appropriate update criteria.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Finanzwirtschaft, Rechnungswesen
Methode
Theorieanwendung
Freie Schlagwörter
Dynamic convex risk measures; Time consistency; Consecutivity; Robust shortfall risk measure; Updating
Sprache Dokument
Englisch
Publikationsjahr
2008
Seitenangabe
S. 833-843
Zeitschriftentitel
Quantitative Finance, 8 (2008) 8
DOI
https://doi.org/10.1080/14697680802055960
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)