Asymptotically stable dynamic risk assessments

Eisele Karl-Theodor () and Kupper Michael ()
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Eisele Karl-Theodor: Laboratoire de recherche en gestion et économie, Institut de Recherche Mathématique Avancée,Université de Strasbourg, PEGE, 61 avenue de la Forêt-Noire, 67085 Strasbourg Cedex, France
Kupper Michael: Fachbereich Mathematik & Statistik, Universität Konstanz, Universitätsstr. 10,78464 Konstanz, Germany

Statistics & Risk Modeling, 2016, vol. 33, issue 1-2, 41-50

Abstract: In this paper we study asymptotically stable risk assessments (or equivalently risk measures) which have the property that an unacceptable position cannot become acceptable by adding a huge cash-flow far in the future. Under an additional continuity assumption, these risk assessments are exactly those which have a robust representation in terms of test probabilities that are supported on a finite time interval. For time-consistent risk assessments we give conditions on their generators which guarantee asymptotic stability.

Keywords: Asymptotic stability of risk assessments; construction by generators; local test probabilities; robust representation; time-consistency (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1515/strm-2012-1146

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