Conditional Risk Mappings

Andrzej Ruszczynski () and Alexander Shapiro ()

Risk and Insurance from University Library of Munich, Germany

Abstract: We introduce an axiomatic definition of a conditional convex risk mapping. By employing the techniques of conjugate duality we derive properties of conditional risk mappings. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We also develop dynamic programming relations for multistage optimization problems involving conditional risk mappings.

Keywords: Risk; Convex Analysis; Conjugate Duality; Stochastic Optimization; Dynamic Programming; Multi-Stage Programming (search for similar items in EconPapers)
Pages: 21 pages
Date: 2004-04-12, Revised 2005-10-08
Note: Type of Document - pdf; pages: 21
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/ri/papers/0404/0404002.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpri:0404002

Access Statistics for this paper

More papers in Risk and Insurance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).