ASYMPTOTICALLY STABLE DYNAMIC RISK ASSESSMENTS

Karl-Theodor Eisele () and Michael Kupper
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Karl-Theodor Eisele: LaRGE Research Center, Université de Strasbourg

Working Papers of LaRGE Research Center from Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg

Abstract: In this paper asymptotically stable risk assessments are studied. They are characterized by not being sensitive with respect to huge additional capital in the very far future. Under the additional hypothesis of being locally continuous from below, these risk assessments are exactly those which allow a robust representation with so-called local test probabilities having a support with finite time horizon. Time-consistent risk assessments can be constructed by composing a sequence of generators. We give several conditions for the generators such that the resulting risk assessments are indeed asymptotically stable.

Keywords: asymptotic stability of risk assessments; construction by generators; local test probabilities; robust representation; time-consistency. (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-rmg and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:lar:wpaper:2013-04

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