Asymptotically Stable Dynamic Risk Assessments
Copyright policy )Asymptotically Stable Dynamic Risk Assessments
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.
asymptotic stability, [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], asymptotic stability of risk assessments, local test probabilities, asymptotic stability of risk assessments, construction by generators, local test probabilities, robust representation, time-consistency., Limit theorems in probability theory, Risk theory, insurance, [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], robust representation, construction by generators, time-consistency, Utility theory, generators, risk assessments
asymptotic stability, [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], asymptotic stability of risk assessments, local test probabilities, asymptotic stability of risk assessments, construction by generators, local test probabilities, robust representation, time-consistency., Limit theorems in probability theory, Risk theory, insurance, [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], robust representation, construction by generators, time-consistency, Utility theory, generators, risk assessments
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