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Update rules for convex risk measures
[journal article]
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... view more
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.... view less
Classification
Economic Statistics, Econometrics, Business Informatics
Financial Planning, Accountancy
Method
theory application
Free Keywords
Dynamic convex risk measures; Time consistency; Consecutivity; Robust shortfall risk measure; Updating
Document language
English
Publication Year
2008
Page/Pages
p. 833-843
Journal
Quantitative Finance, 8 (2008) 8
DOI
https://doi.org/10.1080/14697680802055960
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)