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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)
Date: 2004-04-12, Revised 2005-10-08
Note: Type of Document - pdf; pages: 21
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