Dynamic Assessment Indices
Probability
2014-08-22 v2 Risk Management
Abstract
This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, and which allows us to significantly generalize existing results is the theory of -modules. In the first part of the paper we develop the general theory and provide a robust representation of conditional assessment indices, and in the second part we apply this theory to dynamic acceptability indices acting on stochastic processes.
Cite
@article{arxiv.1306.5198,
title = {Dynamic Assessment Indices},
author = {Tomasz R. Bielecki and Igor Cialenco and Samuel Drapeau and Martin Karliczek},
journal= {arXiv preprint arXiv:1306.5198},
year = {2014}
}
Comments
39 pages