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Asymptotically stable dynamic risk assessments

Author

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  • Karl-Theodor Eisele

    (IRMA - Institut de Recherche Mathématique Avancée - UNISTRA - Université de Strasbourg - CNRS - Centre National de la Recherche Scientifique)

  • Michael Kupper

    (Universität Konstanz)

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

  • Karl-Theodor Eisele & Michael Kupper, 2016. "Asymptotically stable dynamic risk assessments," Post-Print hal-03548963, HAL.
    • Handle: RePEc:hal:journl:hal-03548963
    DOI: 10.1515/strm-2012-1146
    Note: View the original document on HAL open archive server: https://hal.science/hal-03548963
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    References listed on IDEAS

    as
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    4. Patrick Cheridito & Michael Kupper, 2011. "Composition Of Time-Consistent Dynamic Monetary Risk Measures In Discrete Time," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 137-162.
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    Full references (including those not matched with items on IDEAS)

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