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Asymptotically stable dynamic risk assessments

Author

Listed:
  • 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)

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.

Suggested Citation

  • Eisele Karl-Theodor & Kupper Michael, 2016. "Asymptotically stable dynamic risk assessments," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 41-50, September.
    • Handle: RePEc:bpj:strimo:v:33:y:2016:i:1-2:p:41-50:n:1
    DOI: 10.1515/strm-2012-1146
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    References listed on IDEAS

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