In:
Statistics & Risk Modeling, Walter de Gruyter GmbH, Vol. 24, No. 1 ( 2006-07), p. 61-96
Abstract:
We study various properties of a dynamic convex risk measure for bounded random variables which describe the discounted terminal values of financial positions. In particular we characterize time-consistency by a joint supermartingale property of the risk measure and its penalty function. Moreover we discuss the limit behavior of the risk measure in terms of asymptotic safety and of asymptotic precision, a property which may be viewed as a non-linear analogue of martingale convergence. These results are illustrated by the entropic dynamic risk measure.
Type of Medium:
Online Resource
ISSN:
2196-7040
,
2193-1402
DOI:
10.1524/stnd.2006.24.1.61
Language:
English
Publisher:
Walter de Gruyter GmbH
Publication Date:
2006
detail.hit.zdb_id:
2630783-2
detail.hit.zdb_id:
2630803-4
Bookmarklink